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A Strategy for the Use of the Cross Recurrence Quantification Analysis

Author

Listed:
  • Aparicio Teresa
  • Saura Dulce

    (Universidad de Zaragoza, Zaragoza, Spain)

  • Pozo Eduardo F.

    (Universidad de Zaragoza, Economic Analysis, Gran Vía 4, Zaragoza, Spain)

Abstract

In this work, our goal is to analyze the use of the Cross Recurrence Plot (CRP) and its quantification (CRQA) as tools to detect the possible existence of a relationship between two systems. To do that, we define three tests that are a bivariate extension of those proposed by Aparicio et al. (Aparicio, T., E. Pozo, and D. Saura. 2008. “Detecting Determinism Using Recurrence Quantification Analysis: Three Test Procedures.” Journal of Economic Behavior & Organization 65: 768–787, Aparicio, T., E. F. Pozo, and D. Saura. 2011. “Detecting Determinism Using Recurrence Quantification Analysis: A Solution to the Problem of Embedding.” Studies in Nonlinear Dynamics and Econometrics 15: 1–10) within the context of the Recurrence Quantification Analysis. These tests, based on the diagonal lines of the CRP, are applied to a large number of simulated pairs of series. The results obtained are not always satisfactory, with problems being detected specifically when the series have a high degree of laminarity. We study the identified problems and we implement a strategy that we consider adequate for the use of these tools. Finally, as an example, we apply this strategy to several economic series.

Suggested Citation

  • Aparicio Teresa & Saura Dulce & Pozo Eduardo F., 2021. "A Strategy for the Use of the Cross Recurrence Quantification Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(2), pages 1-14, April.
    • Handle: RePEc:bpj:sndecm:v:25:y:2021:i:2:p:14:n:2
    DOI: 10.1515/snde-2018-0103
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    References listed on IDEAS

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    1. Diks Cees & Panchenko Valentyn, 2005. "A Note on the Hiemstra-Jones Test for Granger Non-causality," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(2), pages 1-9, June.
    2. Diks, Cees & Panchenko, Valentyn, 2006. "A new statistic and practical guidelines for nonparametric Granger causality testing," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1647-1669.
    3. Hiemstra, Craig & Jones, Jonathan D, 1994. "Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation," Journal of Finance, American Finance Association, vol. 49(5), pages 1639-1664, December.
    4. Aparicio, Teresa & Pozo, Eduardo F. & Saura, Dulce, 2008. "Detecting determinism using recurrence quantification analysis: Three test procedures," Journal of Economic Behavior & Organization, Elsevier, vol. 65(3-4), pages 768-787, March.
    5. Petre Caraiani & Emmanuel Haven, 2013. "The Role of Recurrence Plots in Characterizing the Output-Unemployment Relationship: An Analysis," PLOS ONE, Public Library of Science, vol. 8(2), pages 1-11, February.
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