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

Evžen Kočenda and Lubos Briatka
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Lubos Briatka: CERGE-EI

Econometrics from University Library of Munich, Germany

Abstract: This paper builds on Kočenda (2001) and extends it in two ways. First, two new intervals of the proximity parameter ε (over which the correlation integral is calculated) are specified. For these ε- ranges new critical values for various lengths of the data sets are introduced and through Monte Carlo studies it is shown that within new ε-ranges the test is even more powerful than within the original ε-range. A sensitivity analysis of the critical values with respect to ε-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 ε-ranges with the original one shows that the test within the new ε-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 and financial data (search for similar items in EconPapers)
JEL-codes: C14 C15 C52 C87 F31 G12 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2004-09-02
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: Type of Document - pdf; pages: 40. Paper has the link to a webpage to download the software.
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Citations: View citations in EconPapers (2)

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https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0409/0409001.pdf (application/pdf)

Related works:
Working Paper: Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0409001

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