Advanced Search
MyIDEAS: Login

Using the Correlation Exponent to Decide whether an Economic Series is Chaotic

Contents:

Author Info

  • Liu, T
  • Granger, C W J
  • Heller, W P

Abstract

We consider two ways of distinguishing deterministic time-series from stochastic white noise; the Grassberger-Procaccia correlation exponent test and the Brock, Dechert, Scheinkman (or BDS) test. Using simulated data to test the power of these tests, the correlation exponent test can distinguish white noise from chaos. It cannot distinguish white noise from chaos mixed with a small amount of white noise. With i.i.d. as the null, the BDS correctly rejects the null when the data are deterministic chaos. Although the BDS test may also reject the null even when the data are stochastic, it may be useful in distinguishing between linear and nonlinear stochastic processes. Copyright 1992 by John Wiley & Sons, Ltd.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://links.jstor.org/sici?sici=0883-7252%28199212%297%3CS25%3AUTCETD%3E2.0.CO%3B2-8&origin=bc
File Function: full text
Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 7 (1992)
Issue (Month): S (Suppl. Dec.)
Pages: S25-39

as in new window
Handle: RePEc:jae:japmet:v:7:y:1992:i:s:p:s25-39

Contact details of provider:
Web page: http://www.interscience.wiley.com/jpages/0883-7252/

Order Information:
Email:
Web: http://www3.interscience.wiley.com/jcatalog/subscribe.jsp?issn=0883-7252

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Domenico Mignacca & Mauro Gallegati, 1994. "Is US Real GNP Chaotic? On Using the BDS test to Decide Whether an ARMA Model forthe US GNP Genreates I.I.D. Residuals," International Finance 9410002, EconWPA, revised 09 Nov 1994.
  2. Mattarocci, Gianluca, 2006. "Market characteristics and chaos dynamics in stock markets: an international comparison," MPRA Paper 4296, University Library of Munich, Germany, revised Jun 2006.
  3. Cheteni, Priviledge, 2013. "Non-linearity behaviour of the ALBI Index: A case of Johannesburg Stock Exchange in South Africa," MPRA Paper 56369, University Library of Munich, Germany.
  4. Jose-Manuel Rey & Manuel Mor´┐Żn, 1999. "A Formalism for the Dimensional Analysis of Time Series," Computing in Economics and Finance 1999 1331, Society for Computational Economics.
  5. M. Shibley Sadique, 2011. "Testing for Neglected Nonlinearity in Weekly Foreign Exchange Rates," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 77-88, June.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:jae:japmet:v:7:y:1992:i:s:p:s25-39. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.