Theory suggests that commodity futures price levels and returns data may exhibit both nonlinear and nonreversible features. This paper attempts to provide a thorough empiri- cally investigation of these claims. The data set is composed of 25 individual continuous contract commodity futures...

Misspecification of agents' information sets or expectation formation mechanisms maylead to noncausal autoregressive representations of asset prices. Annual US stock prices are found to be noncausal, implying that agents' expectations are not revealed to an outside observer such as an...