A Nonlinear Time Series Workshop: A Toolkit for Detecting by Douglas M. Patterson

By Douglas M. Patterson

The complicated dynamic habit exhibited by means of many nonlinear structures - chaos, episodic volatility bursts, stochastic regimes switching - has attracted a great deal of awareness lately. A Nonlinear Time sequence Workshop presents the reader with either the statistical historical past and the software program instruments important for detecting nonlinear habit in time sequence information. the main important present detection options are defined, together with Engle's LaGrange Multiplier try for conditional hetero-skedasticity and exams in accordance with the correlation size and at the anticipated bispectrum. those innovations are illustrated utilizing genuine information from fields reminiscent of economics, finance, engineering, and geophysics.

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Extra info for A Nonlinear Time Series Workshop: A Toolkit for Detecting and Identifying Nonlinear Serial Dependence

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119 SIG. 255 SIG. 292 SIG. 218 asymptotic theory : USING UP TO USING UP TO USING UP TO USING UP TO USING UP TO USING UP TO USING UP TO :LAG :LAG :LAG :LAG :LAG :LAG :LAG I 2 3 4 8 12 16 SIG. 418 SIG. LEVEL =OJ I I SIG. 438 SIG. 530 SIG. 266 SIG. 156 SIG. cnl, contains the information the program needs to run the tests as desired by the user. All parameters and input data are read in free format; the user need not worry about what column each number starts or ends in - just separate each number by at least one space .

Significance levels are quoted up to the maximum lag, 24 . Figure 3-5 displays the output provided for the BDS test and the Bicovariance test. 00 standard deviations. 00 are reported below. At the bottom of Figure 3-5 are the Bicovariance test results . The lag displayed is the maximum allowed for the estimator to converge asymptotically. The part of the output file dealing with the Engle test and the Tsay test is shown in Figure 3-6. For the Engle test, the lags go from I to the highest lag requested in the control file.

Line II: Same as line 10 only for the Tsay test; the maximumnumber of lags allowed is 12. 347 B1COVARIANCETEST bootstrap: USING UP TO LAG: 7 SIG. 017 asymptotic theory: USING UP TO LAG: 7 SIG.

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