A single-blind controlled competition among tests for nonlinearity and chaos

William A. Barnett, Andrew Ronald Gallant, Melvin J. Hinich, Jochen A. Jungeilges, Daniel T. Kaplan, Mark J. Jensen

Research output: Contribution to journalArticle

134 Citations (Scopus)

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 non-chaotic 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.

Original languageEnglish (US)
Pages (from-to)157-192
Number of pages36
JournalJournal of Econometrics
Volume82
Issue number1
DOIs
StatePublished - Jan 1 1997

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Chaos
Nonlinearity
Experiment
Vested interests
Small sample
Stochastic processes
Economic data
Testing
Managers
Recursion
Electronic mail

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Cite this

Barnett, W. A., Gallant, A. R., Hinich, M. J., Jungeilges, J. A., Kaplan, D. T., & Jensen, M. J. (1997). A single-blind controlled competition among tests for nonlinearity and chaos. Journal of Econometrics, 82(1), 157-192. https://doi.org/10.1016/S0304-4076(97)00081-X
Barnett, William A. ; Gallant, Andrew Ronald ; Hinich, Melvin J. ; Jungeilges, Jochen A. ; Kaplan, Daniel T. ; Jensen, Mark J. / A single-blind controlled competition among tests for nonlinearity and chaos. In: Journal of Econometrics. 1997 ; Vol. 82, No. 1. pp. 157-192.
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Barnett, WA, Gallant, AR, Hinich, MJ, Jungeilges, JA, Kaplan, DT & Jensen, MJ 1997, 'A single-blind controlled competition among tests for nonlinearity and chaos', Journal of Econometrics, vol. 82, no. 1, pp. 157-192. https://doi.org/10.1016/S0304-4076(97)00081-X

A single-blind controlled competition among tests for nonlinearity and chaos. / Barnett, William A.; Gallant, Andrew Ronald; Hinich, Melvin J.; Jungeilges, Jochen A.; Kaplan, Daniel T.; Jensen, Mark J.

In: Journal of Econometrics, Vol. 82, No. 1, 01.01.1997, p. 157-192.

Research output: Contribution to journalArticle

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