Univariate Tests for Nonlinear Structure
Posted: 24 Jun 2007
In this paper, we discuss a number of univariate tests for independence and hidden nonlinear deterministic structure, and apply these tests to the Canadian exchange rate, using daily data over a 30-year period from January 2, 1973 to February 14, 2003.
Keywords: Nonlinearity, Chaos, Self-organized criticality, Mackey-Glass-GARCH
JEL Classification: C22, C45, C61
Suggested Citation: Suggested Citation