John Foster (Department of Economics, University of Queensland, Brisbane QLD 4072, Australia) Phillip Wild (The School of Economic Studies, University of Manchester, Manchester M13 9PL, UK)
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This paper offers an econometric methodology for the detection of self-organisational change (defined in terms of the presence of time irreversibility, structural change and fundamental uncertainty) in economic processes that follow logistic diffusion growth paths in historical time. The approach we adopted is built upon recent developments in `moving window' spectral methods which are applied to the scaled residuals generated by estimated logistic diffusion models. We illustrate the use of such methods by examining the case of a financial instrument, namely, the Australian Building Society Deposit, which experienced logistic growth in its market share until bank deregulation was enacted in the 1980s. We show that there is clear evidence that self-organisational change is present over the historical period considered.
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Find related papers by JEL classification: C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics C5 - Mathematical and Quantitative Methods - - Econometric Modeling N1 - Economic History - - Macroeconomics and Monetary Economics; Growth and Fluctuations N2 - Economic History - - Financial Markets and Institutions
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