Testing for the Nonlinearity of ASEAN-5 Daily Dollar Exchange Rates
东盟五国汇率序列的非线性检验

In this study,we focus our attention on testing for nonlinearity of the daily dollar exchange rates data.Specifically,we use a discrete parametric modeling approach to compute an efficient test statistics for nonlinearity of ASEAN-5 daily dollar exchange rates.To validate the test statistics,we use surrogate data testing method.Moreover,for a comparative analysis between the exchange rate series and a well-known chaotic model,we also use artificial data of x-coordinate of Lorenz chaotic model.The empirical results show that there exists nonlinearity in ASEAN-5 daily dollar exchange rates.