Advanced Search
MyIDEAS: Login to save this paper or follow this series

Testing Nonlinear Dynamics, Long Memory and Chaotic Behaviour with Financial and Nonfinancial Data

Contents:

Author Info

  • Kari Takala
  • Matti Virén
Registered author(s):

    Abstract

    This 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 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://www.vatt.fi/file/vatt_publication_pdf/k147.pdf
    Download Restriction: no

    File URL: http://www.vatt.fi/publications/latestPublications/publication/Publication_1345_id/129
    Download Restriction: no

    Bibliographic Info

    Paper provided by Government Institute for Economic Research Finland (VATT) in its series Discussion Papers with number 147.

    as in new window
    Length:
    Date of creation: 01 Jan 1997
    Date of revision:
    Handle: RePEc:fer:dpaper:147

    Contact details of provider:
    Postal: Arkadiankatu 7, P.O. Box 1279, FI-00101 Helsinki
    Phone: +358 295 519 400
    Fax: +358 295 519 599
    Email:
    Web page: http://www.vatt.fi/
    More information through EDIRC

    Order Information:
    Email:

    Related research

    Keywords:

    Find related papers by JEL classification:

    References

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

    Citations

    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:fer:dpaper:147. 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: (Anita Niskanen).

    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.