Detecting Nonlinearity in Time Series: Surrogate and Bootstrap Approaches
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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Volume (Year): 9 (2005)
Issue (Month): 4 (December)
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References listed on IDEAS
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- Christopher Brooks & Melvin Hinich, 1998. "Episodic nonstationarity in exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 5(11), pages 719-722.
- 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.
- William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen, 1996. "A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos," Econometrics 9602005, EconWPA, revised 29 Jan 1997.
- William Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen, 2012. "A Single-Blind Controlled Competition Among Tests For Nonlinearity And Chaos," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201219, University of Kansas, Department of Economics, revised Sep 2012.
- Dean Prichard & James Theiler, 1994. "Generating Surrogate Data for Time Series with Several Simultaneously Measured Variables," Working Papers 94-04-023, Santa Fe Institute. Full references (including those not matched with items on IDEAS)
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