RATS offers many routines to execute metric nonlinear tests such as Mandelbrot's classical R/S test, Lo's Modified R/S test, McLeod Li test, Engle's LM test, Tsay test, BDS test, Hinich bispectrum test, and Hinich bicorrelations test. Are there any RATS routines available which will aid in running topological nonlinear tests such as close returns test & recurrence plots/recurrence quantification analysis?
Hi Vinodh,
Have you tried Hansen-Jagannathan distance test? It is a non parametric test working well for returns. For more details see:
https://www0.gsb.columbia.edu/mygsb/faculty/research/pubfiles/204/EvaluatingtheSpecificationErrors.pdf
Hope this helps
Dear colleague,
Maybe you should use the R statistical software package to perform these tests The package fnonlinear and tseriesChaos permit it :
https://cran.rstudio.com/web/packages/tseriesChaos/tseriesChaos.pdf
https://cran.r-project.org/web/packages/fNonlinear/fNonlinear.pdf
For my PhD thesis, I used also BDS test available in the tseries package. When your data are withened properly, this could help to detect non linearities.
Hope this helps.
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