Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power

Evžen Kočenda and Lubos Briatka

CERGE-EI Working Papers from The Center for Economic Research and Graduate Education - Economics Institute, Prague

Abstract: This paper builds on Kocenda (2001) and extends it in two ways. First, two new intervals of the proximity parameter epsilon (over which the correlation integral is calculated) are specified. For these epsilon-ranges new critical values for various lengths of the data sets are introduced and through Monte Carlo studies it is shown that within new epsilon-ranges the test is even more powerful than within the original epsilon-range. A sensitivity analysis of the critical values with respect to epsilon-range choice is also given. Second, a comparison with existing results of the controlled competition of Barnett et al. (1997) as well as broad power tests on various nonlinear and chaotic data are provided. The results of the comparison strongly favor our robust procedure and confirm the ability of the test in finding nonlinear dependencies. An empirical comparison of the new epsilon-ranges with the original one shows that the test within the new epsilon-ranges is able to detect hidden patterns with much higher precision. Finally, new user-friendly and fast software is introduced.

Keywords: Chaos; Nonlinear dynamics; Correlation integral; Monte Carlo; Single- blind competition; Power tests; High-frequency economic; Financial data (search for similar items in EconPapers)
JEL-codes: C14 C15 C52 C87 F31 G12 (search for similar items in EconPapers)
Date: 2004-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.cerge-ei.cz/pdf/wp/Wp235.pdf (application/pdf)

Related works:
Journal Article: Optimal Range for the iid Test Based on Integration Across the Correlation Integral (2005)
Working Paper: Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cer:papers:wp235

Access Statistics for this paper

More papers in CERGE-EI Working Papers from The Center for Economic Research and Graduate Education - Economics Institute, Prague Contact information at EDIRC.
Bibliographic data for series maintained by Lucie Vasiljevova ().