Journal
JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION
Volume 65, Issue 3-4, Pages 768-787Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.jebo.2006.03.005
Keywords
recurrence plot; recurrence quantification analysis; test for determinism; non-linear dynamics
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In this paper we use the Recurrence Quantification Analysis proposed by Zbilut and Webber [Zbilut, J.P., Webber Jr., C.L., 1992. Embeddings and delays as derived from quantification of recurrence plots. Physics Letters A 171, 199-203] to develop three test procedures that allow us to detect general dependence and, from that, possible deterministic behavior underlying series. Based on the concept of Percent of Determinism we obtain three statistics that allow us to test for the null hypothesis of randomness. The results of the application of these procedures to a set of simulated and real series reveal good behavior in a wide variety of situations, including different sample sizes and series affected by noise. (C) 2006 Elsevier B.V. All rights reserved.
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