Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power
AbstractThis paper builds on Kočenda (2001) and extends it in two ways. First, two new intervals of the proximity parameter ε (over which the correlation integral is calculated) are specified. For these ε- ranges new critical values for various lengths of the data sets are introduced and through Monte Carlo studies it is shown that within new ε-ranges the test is even more powerful than within the original ε-range. A sensitivity analysis of the critical values with respect to ε-range choice is also given. Second, a comparison with existing results of the controlled competition of Barnett et al. (1997) as well as broad power tests on various nonlinear and chaotic data are provided. The results of the comparison strongly favor our robust procedure and confirm the ability of the test in finding nonlinear dependencies. An empirical comparison of the new ε-ranges with the original one shows that the test within the new ε-ranges is able to detect hidden patterns with much higher precision. Finally, new user-friendly and fast software is introduced.
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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0409001.
Length: 40 pages
Date of creation: 02 Sep 2004
Date of revision:
Note: Type of Document - pdf; pages: 40. Paper has the link to a webpage to download the software.
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chaos; nonlinear dynamics; correlation integral; Monte Carlo; single-blind competition; power tests; high-frequency economic and financial data;
Other versions of this item:
- Evzen Kocenda & Lubos Briatka, 2004. "Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power," CERGE-EI Working Papers wp235, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-09-05 (All new papers)
- NEP-ECM-2004-09-05 (Econometrics)
- NEP-ETS-2004-09-05 (Econometric Time Series)
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