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Detecting Nonlinearity in Time Series: Surrogate and Bootstrap Approaches

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Author Info
Melvin Hinich
Eduardo Mendes (Federal University of Minas Gerais - Brazil)
Lewi Stone

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Abstract

Detecting nonlinearity in financial time series is a key point when the main interest is to understand the generating process. One of the main tests for testing linearity in time series is the Hinich Bispectrum Nonlinearity Test (HINBIN). Although this test has been succesfully applied to a vast number of time series, further improvement in the size power of the test is possible. A new method that combines the bispectrum and the surrogate method and bootstrap is then presented for detecting nonlinearity, gaussianity and time reversibility. Simulated and real data examples are given to demonstrate the efficacy of the new tests.

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Publisher Info
Article provided by Berkeley Electronic Press in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 9 (2005)
Issue (Month): 4 ()
Pages: 1268-1268
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Handle: RePEc:bep:sndecm:9:2005:4:1268-1268

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Related research
Keywords: Bootstrap Surrogate data method random processes

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Barnett, William A. & Gallant, A. Ronald & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1997. "A single-blind controlled competition among tests for nonlinearity and chaos," Journal of Econometrics, Elsevier, vol. 82(1), pages 157-192. [Downloadable!] (restricted)
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  2. Melvin J. Hinich & Philip Rothman, . "A Frequency Domain Test of Time Reversibility," Working Papers 9706, East Carolina University, Department of Economics. [Downloadable!]
  3. Brooks, Christopher & Hinich, Melvin J, 1998. "Episodic Nonstationarity in Exchange Rates," Applied Economics Letters, Taylor and Francis Journals, vol. 5(11), pages 719-22, November. [Downloadable!] (restricted)
  4. Dean Prichard & James Theiler, 1994. "Generating Surrogate Data for Time Series with Several Simultaneously Measured Variables," Working Papers 94-04-023, Santa Fe Institute.
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Barry E. Jones & Travis D. Nesmith, 2006. "Linear cointegration of nonlinear time series with an application to interest rate dynamics," Finance and Economics Discussion Series 2007-03, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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