William A. Barnett (Washington University in St. Louis) A. Ronald Gallant (University of North Carolina at Chapel Hill) Melvin J. Hinich (University of Texas at Austin) Jochen A. Jungeilges (University of Osnabruck, Germany) Daniel T. Kaplan (Macalester College) Mark J. Jensen (Southern Illinois University at Carbondale)
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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.
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Paper provided by EconWPA in its series Econometrics with number
9602005.
Length: 49 pages Date of creation: 20 Feb 1996 Date of revision:
20 Sep 1996 Handle: RePEc:wpa:wuwpem:9602005
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: Contact details of provider: Web page: http://129.3.20.41
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Find related papers by JEL classification: C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
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