Univariate Tests for Nonlinear Structure

Posted: 24 Jun 2007

See all articles by Catherine Kyrtsou

Catherine Kyrtsou

University of Macedonia - Department of Economics; University of Strasbourg - BETA

Apostolos Serletis

University of Calgary - Department of Economics

Abstract

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

Kyrtsou, Catherine and Serletis, Apostolos, Univariate Tests for Nonlinear Structure. Journal of Macroeconomics, Vol. 28, No. 1, 2006, Available at SSRN: https://ssrn.com/abstract=995997

Catherine Kyrtsou (Contact Author)

University of Macedonia - Department of Economics ( email )

Egnatia str., 156
Thessaloniki 54006
Greece

HOME PAGE: http://www.uom.gr/index.php?newlang=eng&tmima=3&categorymenu=2

University of Strasbourg - BETA

61 avenue de la ForĂȘt Noire
67085 Strasbourg Cedex
France

HOME PAGE: http://cournot2.u-strasbg.fr/users/beta/

Apostolos Serletis

University of Calgary - Department of Economics ( email )

2500 University Drive, NW
Calgary, Alberta T2N 1N4
Canada
403 220-4091 (Phone)
403 282-5262 (Fax)

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