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Testing for Nonlinear Structure and Chaos in Economic Time. A Comment

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Author Info
Cars Hommes () (Faculty of Economics and Econometrics, Universiteit van Amsterdam)
Sebastiano Manzan () (University of Leicester)

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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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Publisher Info
Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 06-030/1.

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Date of creation: 27 Mar 2006
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Handle: RePEc:dgr:uvatin:20060030

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Web page: http://www.tinbergen.nl/

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Related research
Keywords: nonlinearity chaos noise self-organized criticality Mackey-Glass-GARCH

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis

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  1. 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, vol. 22(8-9), pages 1235-1274, August. [Downloadable!] (restricted)
  2. Serletis, Apostolos & Shintani, Mototsugu, 2006. "Chaotic monetary dynamics with confidence," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 228-252, March. [Downloadable!] (restricted)
  3. Mototsugu Shintani & Oliver Linton, 2003. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(1), pages 331-357, February. [Downloadable!] (restricted)
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  4. Kyrtsou, Catherine & Serletis, Apostolos, 2006. "Univariate tests for nonlinear structure," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 154-168, March. [Downloadable!] (restricted)
  5. repec:att:wimass:199520 is not listed on IDEAS
  6. Brock, William A. & Sayers, Chera L., 1988. "Is the business cycle characterized by deterministic chaos?," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 71-90, July. [Downloadable!] (restricted)
  7. Granger, Clive W J, 1991. " Developments in the Nonlinear Analysis of Economic Series," Scandinavian Journal of Economics, Blackwell Publishing, vol. 93(2), pages 263-76.
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  8. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," Journal of Business, University of Chicago Press, vol. 62(3), pages 311-37, July. [Downloadable!] (restricted)
  9. Jess Benhabib, 1996. "On Cycles and Chaos in Economics," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 1(1), pages 1-2. [Downloadable!] (restricted)
  10. William A. Barnett & Apostolos Serletis, 1998. "Martingales, Nonlinearity, and Chaos," Econometrics 9805003, EconWPA. [Downloadable!]
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  11. W. A. Broock & J. A. Scheinkman & W. D. Dechert & B. LeBaron, 1996. "A test for independence based on the correlation dimension," Econometric Reviews, Taylor and Francis Journals, vol. 15(3), pages 197-235. [Downloadable!] (restricted)
  12. Shintani, Mototsugu & Linton, Oliver, 2004. "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," Journal of Econometrics, Elsevier, vol. 120(1), pages 1-33, May. [Downloadable!] (restricted)
    Other versions:
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