A SINGLE-BLIND CONTROLLED COMPETITION AMONG TESTS FOR NONLINEARITY AND CHAOS*

William Barnett, A. Gallant, Melvin Hinich, Jochen Jungeilges, Daniel Kaplan and Mark Jensen
Additional contact information
Jochen Jungeilges: University of Osnabruck, Germany
Daniel Kaplan: Macalester College

No 201219, WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS from University of Kansas, Department of Economics

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.

Keywords: competition; chaos; nonlinearity; experiment (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 C45 (search for similar items in EconPapers)
Pages: 57 pages
Date: 2012-09, Revised 2012-09
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Related works:
Chapter: A Single-Blind Controlled Competition Among Tests for Nonlinearity and Chaos (2004)
Journal Article: A single-blind controlled competition among tests for nonlinearity and chaos (1997)
Working Paper: A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:kan:wpaper:201219

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