Testing for nonlinearity and chaos in economic time series with noise titration

Petre Caraiani

Economics Letters, 2013, vol. 120, issue 2, 192-194

Abstract: Recently, a new test for nonlinearity and chaos was proposed, the noise titration technique. I discuss in this paper its relevance for the case of economic time series. I apply the test on two relevant datasets for which previous assessments exist, both simulated and real data. Compared to other tests for nonlinearity and chaos I find that this approach performs relatively well.

Keywords: Nonlinearity; Chaos; Lyapunov exponents; Noise titration (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:120:y:2013:i:2:p:192-194

DOI: 10.1016/j.econlet.2013.04.020

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