Advanced Search
MyIDEAS: Login

Chaos detection in economics. Metric versus topological tools

Contents:

Author Info

  • Faggini, Marisa
Registered author(s):

    Abstract

    In their paper Frank F., Gencay R., and Stengos T., (1988) analyze the quarterly macroeconomic data from 1960 to 1988 for West Germany, Italy, Japan and England. The goal was to check for the presence of deterministic chaos. To ensure that the data analysed was stationary they used a first difference then tried a linear fit. Using a reasonable AR specification for each time series their conclusion was that time series showed different structures. In particular the non linear structure was present in the time series of Japan. Nevertheless the application of metric tools for detecting chaos (correlation dimension and Lyapunov exponent) didn’t show presence of chaos in any time series. Starting from this conclusion we applied a topological tool Visual Recurrence Analysis to these time series to compare the results. The purpose is to verify if the analysis performed by a topological tool could give results different from ones obtained using a metric tool.

    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://mpra.ub.uni-muenchen.de/30928/
    File Function: original version
    Download Restriction: no

    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 30928.

    as in new window
    Length:
    Date of creation: Oct 2010
    Date of revision:
    Handle: RePEc:pra:mprapa:30928

    Contact details of provider:
    Postal: Schackstr. 4, D-80539 Munich, Germany
    Phone: +49-(0)89-2180-2219
    Fax: +49-(0)89-2180-3900
    Web page: http://mpra.ub.uni-muenchen.de
    More information through EDIRC

    Related research

    Keywords: economics time series; chaos; and topological tool;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Gilmore, Claire G., 1993. "A new test for chaos," Journal of Economic Behavior & Organization, Elsevier, vol. 22(2), pages 209-237, October.
    2. Blake LeBaron, 1994. "Chaos and Nonlinear Forecastability in Economics and Finance," Finance 9411001, EconWPA.
    3. Jorge Belaire-Franch, & Dulce Contreras & Lorena Tordera-Lledo, 2002. "Assessing Non-Linear Structures in Real Exchange Rates Using Recurrence Plot Strategies," Computing in Economics and Finance 2002 239, Society for Computational Economics.
    Full references (including those not matched with items on IDEAS)

    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:pra:mprapa:30928. 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: (Ekkehart Schlicht).

    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.