Testing Nonlinear Dynamics, Long Memory and Chaotic Behaviour with Financial and Nonfinancial Data
AbstractThis paper contains a set of tests for nonlinearities in economic time series. The tests comprise both standard diagnostic tests for revealing nonlinearities and some new developments in modelling nonlinearities. The latter test procedures make use of models in chaos, theory, so-called long-memory models and some asymmetric adjustment models. Empirical tests are carried out with Finnish monthly data for twelve macroeconomic time series covering the period 1920-1996. Test results support unambiguously the notion that there are strong nonlinearities in the data. The evidence for chaos, however, is weak or nonexisting. The evidence on long memory (in terms of so-called rescaled range and fractional differencing) is somewhat stronger although not very compelling. Nonlinearities are detected not only in a univariate setting but also in some preliminary investigation dealing with a multivariate case. Certain differences seem to exist between nominal and real variables in nonlinear behaviour.
Download InfoIf 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.
Bibliographic InfoPaper provided by Government Institute for Economic Research Finland (VATT) in its series Discussion Papers with number 147.
Date of creation: 01 Jan 1997
Date of revision:
Find related papers by JEL classification:
- E00 - Macroeconomics and Monetary Economics - - General - - - General
- O10 - Economic Development, Technological Change, and Growth - - Economic Development - - - General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral 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: (Anita Niskanen).
If references are entirely missing, you can add them using this form.