haku: @indexterm SIMULATION MODELS / yhteensä: 380
viite: 36 / 380
| Tekijä: | |
| Otsikko: | A single-blind controlled competition among tests for nonlinearity and chaos |
| Lehti: | Journal of Econometrics
1998 : JAN, Vol. 82:1, p. 157-192 |
| Asiasana: | COMPETITION SIMULATION MODELS STOCHASTIC PROCESSES |
| Kieli: | eng |
| Tiivistelmä: | 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. |
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