IDEAS home Printed from https://ideas.repec.org/p/kan/wpaper/201219.html
   My bibliography  Save this paper

A Single-Blind Controlled Competition Among Tests For Nonlinearity And Chaos

Author

Listed:
  • William Barnett

    (Department of Economics, The University of Kansas)

  • A. Ronald Gallant

    (University of North Carolina at Chapel Hill)

  • Melvin J. Hinich

    (University of Texas at Austin)

  • Jochen A. Jungeilges

    (University of Osnabruck, Germany)

  • Daniel T. Kaplan

    (Macalester College)

  • Mark J. Jensen

    (Southern Illinois University at Carbondale)

Abstract

Interest has been growing in testing for nonlinearity or chaos in economic data, but much controversy has arisen about the available results. This paper explores the reasons for these empirical difficulties. We designed and ran a single-blind controlled competition among five highly regarded tests for nonlinearity or chaos with ten simulated data series. The data generating mechanisms include linear processes, chaotic recursions, and nonchaotic stochastic processes; and both large and small samples were included in the experiment. The data series were produced in a single blind manner by the competition manager and sent by e-mail, without identifying information, to the experiment participants. Each such participant is an acknowledged expert in one of the tests and has a possible vested interest in producing the best possible results with that one test. The results of this competition provide much surprising information about the power functions of some of the best regarded tests for nonlinearity or noisy chaos.

Suggested Citation

  • 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.
  • Handle: RePEc:kan:wpaper:201219
    as

    Download full text from publisher

    File URL: http://www2.ku.edu/~kuwpaper/2009Papers/201219.pdf
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. Barnett, William A. & Ronald Gallant, A. & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1995. "Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size," Journal of Economic Behavior & Organization, Elsevier, vol. 27(2), pages 301-320, July.
    2. Serletis, Apostolos, 1995. "Random Walks, Breaking Trend Functions, and the Chaotic Structure of the Velocity of Money," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(4), pages 453-458, October.
    3. William Barnett, 2005. "Monetary Aggregation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200510, University of Kansas, Department of Economics, revised Mar 2005.
    4. DeCoster, Gregory P & Mitchell, Douglas W, 1991. "Nonlinear Monetary Dynamics," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 455-461, October.
    5. Ramsey, James B & Sayers, Chera L & Rothman, Philip, 1990. "The Statistical Properties of Dimension Calculations Using Small Data Sets: Some Economic Applications," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(4), pages 991-1020, November.
    6. DeCoster, Gregory P. & Mitchell, Douglas W., 1992. "Dynamic implications of chaotic monetary policy," Journal of Macroeconomics, Elsevier, vol. 14(2), pages 267-287.
    7. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April.
    8. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-1458, November.
    9. Ashley, Richard A & Patterson, Douglas M, 1989. "Linear versus Nonlinear Macroeconomies: A Statistical Test," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(3), pages 685-704, August.
    10. repec:bla:jtsera:v:7:y:1986:i:3:p:165-178 is not listed on IDEAS
    11. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-1764, December.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    competition; chaos; nonlinearity; experiment;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kan:wpaper:201219. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jianbo Zhang). General contact details of provider: http://edirc.repec.org/data/deuksus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.