Detecting Nonlinearity in Time Series: Surrogate and Bootstrap Approaches
Author
Abstract
Suggested Citation
DOI: 10.2202/1558-3708.1268
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Christopher Brooks & Melvin Hinich, 1998. "Episodic nonstationarity in exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 5(11), pages 719-722.
- Hidalgo, Javier, 2003. "An alternative bootstrap to moving blocks for time series regression models," LSE Research Online Documents on Economics 6850, London School of Economics and Political Science, LSE Library.
- William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan, 2004.
"A Single-Blind Controlled Competition Among Tests for Nonlinearity and Chaos,"
Contributions to Economic Analysis, in: Functional Structure and Approximation in Econometrics, pages 581-615,
Emerald Group Publishing Limited.
- Barnett, William A. & Gallant, A. Ronald & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1997. "A single-blind controlled competition among tests for nonlinearity and chaos," Journal of Econometrics, Elsevier, vol. 82(1), pages 157-192.
- William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen, 1996. "A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos," Econometrics 9602005, University Library of Munich, Germany, revised 29 Jan 1997.
- William Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen, 2012. "A Single-Blind Controlled Competition Among Tests For Nonlinearity And Chaos," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201219, University of Kansas, Department of Economics, revised Sep 2012.
- Javier Hidalgo, 2003. "An Alternative Bootstrap to Moving Blocks for Time Series Regression Models," STICERD - Econometrics Paper Series 452, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Barnett,William A. & Geweke,John & Shell,Karl (ed.), 1989. "Economic Complexity: Chaos, Sunspots, Bubbles, and Nonlinearity," Cambridge Books, Cambridge University Press, number 9780521355636.
- Hidalgo, Javier, 2003. "An alternative bootstrap to moving blocks for time series regression models," Journal of Econometrics, Elsevier, vol. 117(2), pages 369-399, December.
- Richard A. Ashley & Douglas M. Patterson & Melvin J. Hinich, 1986. "A Diagnostic Test For Nonlinear Serial Dependence In Time Series Fitting Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(3), pages 165-178, May.
- Dean Prichard & James Theiler, 1994. "Generating Surrogate Data for Time Series with Several Simultaneously Measured Variables," Working Papers 94-04-023, Santa Fe Institute.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Nesmith Travis D & Jones Barry E, 2008.
"Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-18, March.
- Barry E. Jones & Travis D. Nesmith, 2006. "Linear cointegration of nonlinear time series with an application to interest rate dynamics," Finance and Economics Discussion Series 2007-03, Board of Governors of the Federal Reserve System (U.S.).
- Belaire-Franch, Jorge, 2004. "Testing for non-linearity in an artificial financial market: a recurrence quantification approach," Journal of Economic Behavior & Organization, Elsevier, vol. 54(4), pages 483-494, August.
- Lim, Kian-Ping & Brooks, Robert D. & Hinich, Melvin J., 2008. "Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 527-544, December.
- Acatrinei, Marius Cristian & Caraiani, Petre, 2011. "Modeling and Forecasting the Dynamics in Romanian Stock Market Indices Using Threshold Models," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 42-54, June.
- Houston Stokes & Melvin Hinich, 2011. "Detecting and modeling nonlinearity in the gas furnace data," Computational Statistics, Springer, vol. 26(1), pages 77-93, March.
- Gustavo Deco & Diego Vidaurre & Morten L. Kringelbach, 2021. "Revisiting the global workspace orchestrating the hierarchical organization of the human brain," Nature Human Behaviour, Nature, vol. 5(4), pages 497-511, April.
- Kugiumtzis Dimitris, 2008. "Evaluation of Surrogate and Bootstrap Tests for Nonlinearity in Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-26, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Paulo M. D. C. Parente & Richard J. Smith, 2021.
"Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 377-405, July.
- Paulo M.D.C. Parente & Richard J. Smith, 2018. "Quasi-Maximum Likelihood and the Kernel Block Bootstrap for Nonlinear Dynamic Models," Working Papers REM 2018/59, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Paulo Parente & Richard J. Smith, 2019. "Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models," CeMMAP working papers CWP60/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hidalgo, Javier & Schafgans, Marcia, 2017. "Inference and testing breaks in large dynamic panels with strong cross sectional dependence," Journal of Econometrics, Elsevier, vol. 196(2), pages 259-274.
- Hidalgo, Javier, 2009. "Goodness of fit for lattice processes," Journal of Econometrics, Elsevier, vol. 151(2), pages 113-128, August.
- Johan Blomquist & Joakim Westerlund, 2016. "Panel bootstrap tests of slope homogeneity," Empirical Economics, Springer, vol. 50(4), pages 1359-1381, June.
- Kirch Claudia, 2007. "Resampling in the frequency domain of time series to determine critical values for change-point tests," Statistics & Risk Modeling, De Gruyter, vol. 25(3/2007), pages 1-25, July.
- Arteche, Josu & Orbe, Jesus, 2009. "Using the bootstrap for finite sample confidence intervals of the log periodogram regression," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1940-1953, April.
- Hidalgo, J., 2008. "Specification testing for regression models with dependent data," Journal of Econometrics, Elsevier, vol. 143(1), pages 143-165, March.
- Phillip Wild & John Foster, 2012. "On testing for non-linear and time irreversible probabilistic structure in high frequency ASX financial time series data," Discussion Papers Series 466, School of Economics, University of Queensland, Australia.
- Hidalgo, Javier, 2007. "Specification testing for regression models with dependent data," LSE Research Online Documents on Economics 6799, London School of Economics and Political Science, LSE Library.
- Lazarova, Stepana, 2005. "Testing for structural change in regression with long memory processes," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 329-372.
- William Barnett & Barry E. Jones & Milka Kirova & Travis D. Nesmith & Meenakshi Pasupathy1, 2004.
"The Nonlinear Skeletons in the Closet,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
200403, University of Kansas, Department of Economics, revised May 2004.
- William A. Barnett & Barry E. Jones & Milka Kirova & Travis Nesmith & Meenakshi Pasupathy, 2004. "The Nonlinear Skeletons in the Closet," Econometrics 0405003, University Library of Munich, Germany.
- Murphy, A. & Izzeldin, M., 2009.
"Bootstrapping long memory tests: Some Monte Carlo results,"
Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2325-2334, April.
- Anthony Murphy & M Izzeldin, 2006. "Bootstrapping long memory tests: some Monte Carlo results," Working Papers 574547, Lancaster University Management School, Economics Department.
- Kian-Ping Lim & M. Azali & M.S. Habibullah & Venus Khim-Sen Liew, 2003. "Are Non-Linear Dynamics a Universal Occurrence? Further Evidence From Asian Stock Markets," Finance 0308001, University Library of Munich, Germany.
- George Kapetanios, 2004. "A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes," Working Papers 507, Queen Mary University of London, School of Economics and Finance.
- George Kapetanios & Zacharias Psaradakis, 2006.
"Sieve Bootstrap for Strongly Dependent Stationary Processes,"
Working Papers
552, Queen Mary University of London, School of Economics and Finance.
- George Kapetanios & Zacharias Psaradakis, 2006. "Sieve Bootstrap for Strongly Dependent Stationary Processes," Working Papers 552, Queen Mary University of London, School of Economics and Finance.
- Gerolimetto, Margherita, 2006. "Frequency domain bootstrap for the fractional cointegration regression," Economics Letters, Elsevier, vol. 91(3), pages 389-394, June.
- Hidalgo, Javier & Schafgans, Marcia, 2017. "Inference and testing breaks in large dynamic panels with strong cross sectional dependence," LSE Research Online Documents on Economics 68839, London School of Economics and Political Science, LSE Library.
- Arteche González, Jesús María, 2020. "Frequency Domain Local Bootstrap in long memory time series," BILTOKI info:eu-repo/grantAgreeme, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
- Violetta Dalla & Javier Hidalgo, 2005. "A Parametric Bootstrap Test for Cycles," STICERD - Econometrics Paper Series 486, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- George Kapetanios, 2004.
"A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes,"
Working Papers
507, Queen Mary University of London, School of Economics and Finance.
- George Kapetanios, 2004. "A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes," Working Papers 507, Queen Mary University of London, School of Economics and Finance.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:sndecm:v:9:y:2005:i:4:n:3. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.