Does anyone have the codes (written on RATS/MATLAB/any other platform) for Rolling Hinich Bicorrelation test and Rolling Hurst Exponent test? Would greatly appreciate if you could share them.
Vinodh Madhavan,
The Hinich test is implemented on the HOSA (Higher Order Spectral Analysis) MATLAB toolbox, which is a very, very, good implementation, based on Nikia's book (Higher Order Spectra Analysis: A Nonlinear Signal Processing Frameworking). The link is the following:
http://www.mathworks.com/matlabcentral/fileexchange/3013-hosa-higher-order-spectral-analysis-toolbox
By the way, the function's name is ``glstat.m''. Type ``help glstat'' in MATLAB's Command Window for more help.
Concerning your Hurst Exponent test, you can use the KPSS test for nonstationary tests of your time series.
The R/S-statistics has a low power compared to the KPSS statistic.
In MATLAB, the KPSS test function is called ``kpsstest.m''.
Regards,
Lucas.
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