A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos

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

Econometrics from University Library of Munich, Germany

Abstract: This is the FINAL draft of this paper reporting the results of a long ongoing competition. The paper now is forthcoming in the Journal of Econometrics. This final version replaces the earlier draft that was also in this archive. 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 apply five highly regarded tests for nonlinearity or chaos to 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. The simulated data and the code for some of the tests entered into this competition also are online in this archive.

Keywords: chaos; nonlinearity; competition; experiment (search for similar items in EconPapers)
JEL-codes: C14 C15 C22 C43 E4 (search for similar items in EconPapers)
Pages: 49 pages
Date: 1996-02-20, Revised 1997-01-29
Note: Type of Document - Microsoft Word; prepared on Macintosh; to print on PostScript; pages: 49 ; 2 figures: included. The simulated data used in this competition is online in this archive at URL location:
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Related works:
Working Paper: A SINGLE-BLIND CONTROLLED COMPETITION AMONG TESTS FOR NONLINEARITY AND CHAOS* (2012)
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)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:9602005

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