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Testing for Nonlinear Structure and Chaos in Economic Time Series: A Comment

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  • Hommes, C.H.
  • Manzan, S.

    ()
    (Universiteit van Amsterdam)

Abstract

This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine Kyrtsou and Apostolos Serletis. We summarize their main results and discuss some of their conclusions concerning the role of outliers and noisy chaos. In particular, we include some new simulations to investigate whether economic time series may be characterized by low dimensional noisy chaos.

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File URL: http://www1.fee.uva.nl/cendef/publications/papers/HomMan.pdf
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Bibliographic Info

Paper provided by Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance in its series CeNDEF Working Papers with number 05-14.

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Date of creation: 2005
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Handle: RePEc:ams:ndfwpp:05-14

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Postal: Dept. of Economics and Econometrics, Universiteit van Amsterdam, Roetersstraat 11, NL - 1018 WB Amsterdam, The Netherlands
Phone: + 31 20 525 52 58
Fax: + 31 20 525 52 83
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Web page: http://www.fee.uva.nl/cendef/
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  1. Mototsugu Shintani & Oliver Linton, 2002. "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 2093, London School of Economics and Political Science, LSE Library.
  2. Oliver Linton & Mototsugu Shintani, 2001. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," FMG Discussion Papers, Financial Markets Group dp383, Financial Markets Group.
  3. Barnett, William A. & Serletis, Apostolos, 2000. "Martingales, nonlinearity, and chaos," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 24(5-7), pages 703-724, June.
  4. Serletis, Apostolos & Shintani, Mototsugu, 2006. "Chaotic monetary dynamics with confidence," Journal of Macroeconomics, Elsevier, Elsevier, vol. 28(1), pages 228-252, March.
  5. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 22(8-9), pages 1235-1274, August.
  6. Brock, William A. & Sayers, Chera L., 1988. "Is the business cycle characterized by deterministic chaos?," Journal of Monetary Economics, Elsevier, Elsevier, vol. 22(1), pages 71-90, July.
  7. Kyrtsou, Catherine & Serletis, Apostolos, 2006. "Univariate tests for nonlinear structure," Journal of Macroeconomics, Elsevier, Elsevier, vol. 28(1), pages 154-168, March.
  8. Granger, Clive W J, 1991. " Developments in the Nonlinear Analysis of Economic Series," Scandinavian Journal of Economics, Wiley Blackwell, Wiley Blackwell, vol. 93(2), pages 263-76.
  9. repec:att:wimass:9520 is not listed on IDEAS
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