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Developments in the Nonlinear Analysis of Economic Series

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  • Granger, Clive W J

Abstract

Various 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 Info

Article provided by Wiley Blackwell in its journal Scandinavian Journal of Economics.

Volume (Year): 93 (1991)
Issue (Month): 2 ()
Pages: 263-76

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Handle: RePEc:bla:scandj:v:93:y:1991:i:2:p:263-76

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Web page: http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9442

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Cited by:
  1. Cars Hommes & Sebastiano Manzan, 2006. "Testing for Nonlinear Structure and Chaos in Economic Time. A Comment," Tinbergen Institute Discussion Papers 06-030/1, Tinbergen Institute.
  2. repec:dgr:uvatin:2006030 is not listed on IDEAS
  3. David A. Peel & Ivan Paya, 2006. "Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 21(5), pages 655-668.
  4. Serletis, Apostolos & Shintani, Mototsugu, 2006. "Chaotic monetary dynamics with confidence," Journal of Macroeconomics, Elsevier, Elsevier, vol. 28(1), pages 228-252, March.
  5. Honohan, Patrick & Vittas, Dimitri, 1996. "Bank regulation and the network paradigm : policy implications for developing and transition economies," Policy Research Working Paper Series 1631, The World Bank.
  6. Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009. "Energy sector pricing: On the role of neglected nonlinearity," Energy Economics, Elsevier, Elsevier, vol. 31(3), pages 492-502, May.
  7. Manfred M. Fischer & Wolfgang Koller, 2001. "Testing for Non-Linear Dependence in Univariate Time Series: An Empirical Investigation of the Austrian Unemployment Rate," ERSA conference papers ersa01p233, European Regional Science Association.
  8. Patrick Honohan, 1995. "The Impact of Financial and Fiscal Policies on Saving," Papers, Economic and Social Research Institute (ESRI) WP059, Economic and Social Research Institute (ESRI).
  9. Wu, Berlin, 1995. "Model-free forecasting for nonlinear time series (with application to exchange rates)," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 19(4), pages 433-459, April.
  10. Hommes, C.H. & Manzan, S., 2005. "Testing for Nonlinear Structure and Chaos in Economic Time Series: A Comment," CeNDEF Working Papers 05-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.

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