Developments in the Nonlinear Analysis of Economic Series
AbstractVarious aspects of the analysis of nonlinearities are surveyed in this paper. A possibility of distinguishing between a (low-dimensional) deterministic chaotic process and a white noise stochastic process using estimates of the correlation dimension is discussed. It is concluded that there is no evidence of chaos--as opposed to nonlinearity--in the economic data. The modes of testing for nonlinearity are briefly surveyed, with particular attention paid to a new test based on a neural network specification. It is found that aggregation can reduce nonlinearity and a definition of long memory is proposed that suggests a nonlinear generalization of cointegration. Copyright 1991 by The editors of the Scandinavian Journal of Economics.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Scandinavian Journal of Economics.
Volume (Year): 93 (1991)
Issue (Month): 2 ()
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Web page: http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9442
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