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A Strategy for the Use of the Cross Recurrence Quantification Analysis

Aparicio Teresa, Saura Dulce and Pozo Eduardo F. ()
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Saura Dulce: Universidad de Zaragoza, Zaragoza, Spain
Pozo Eduardo F.: Universidad de Zaragoza, Economic Analysis, Gran Vía 4, Zaragoza, Spain

Studies in Nonlinear Dynamics & Econometrics, 2021, vol. 25, issue 2, 14

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.

Keywords: cross recurrence quantification analysis; Diks and Panchenko test; independence test; laminarity (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1515/snde-2018-0103

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