Testing for nonlinearity and chaos in economic time series with noise titration

Recently, a new test for nonlinearity and chaos was proposed, the noise titration technique. I discuss in this paper its relevance for the case of economic time series. I apply the test on two relevant datasets for which previous assessments exist, both simulated and real data. Compared to other tests for nonlinearity and chaos I find that this approach performs relatively well.

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Year of publication:	2013
Authors:	Caraiani, Petre
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 120.2013, 2, p. 192-194
Publisher:	Elsevier
Subject:	Nonlinearity \| Chaos \| Lyapunov exponents \| Noise titration

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Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

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