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

Author

Listed:
  • William Barnett

    (Department of Economics, 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
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    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

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