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EVIDENCE FOR NEGLECTED LINEARITY IN NOISY CHAOTIC MODELS

CATHERINE KYRTSOU

University of Macedonia, Department of Economics, Office 504, Egnatia str., 156, 54006, Thessaloniki, Greece

University of Montpellier I, Department of Economics, LAMETA, Espace Richter, Avenue de la Mer, 34054, Montpellier Cedex 1, France

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https://doi.org/10.1142/S0218127405013964Cited by:17 (Source: Crossref)

Abstract

In practice it is very difficult to distinguish between stochastic and chaotic nonlinearity. It is also difficult to identify nonlinear structures in time series when the hidden dynamics are complex. In this paper, we provide evidence that in the presence of specific high-dimensional underlying structures, White [1989] and Theiler et al. [1992] tests fail to detect nonlinearity.

Keywords:

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