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Developments in the Nonlinear Analysis of Economic Series

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  • Granger, Clive W J

Abstract

Various aspects of the analysis of nonlinearities are surveyed in this paper. A possibility of distinguishing between a (low-dimensional) deterministic chaotic process and a white noise stochastic process using estimates of the correlation dimension is discussed. It is concluded that there is no evidence of chaos--as opposed to nonlinearity--in the economic data. The modes of testing for nonlinearity are briefly surveyed, with particular attention paid to a new test based on a neural network specification. It is found that aggregation can reduce nonlinearity and a definition of long memory is proposed that suggests a nonlinear generalization of cointegration. Copyright 1991 by The editors of the Scandinavian Journal of Economics.

Suggested Citation

  • Granger, Clive W J, 1991. " Developments in the Nonlinear Analysis of Economic Series," Scandinavian Journal of Economics, Wiley Blackwell, vol. 93(2), pages 263-276.
  • Handle: RePEc:bla:scandj:v:93:y:1991:i:2:p:263-76
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    Cited by:

    1. Serletis, Apostolos & Shintani, Mototsugu, 2006. "Chaotic monetary dynamics with confidence," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 228-252, March.
    2. David A. Peel & Ivan Paya, 2006. "Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 655-668.
    3. Wu, Berlin, 1995. "Model-free forecasting for nonlinear time series (with application to exchange rates)," Computational Statistics & Data Analysis, Elsevier, vol. 19(4), pages 433-459, April.
    4. Honohan, Patrick*Vittas, Dimitri, 1996. "Bank regulation and the network paradigm : policy implications for developing and transition economies," Policy Research Working Paper Series 1631, The World Bank.
    5. Koller, Wolfgang & Fischer, Manfred M., 2001. "Testing for Non-Linear Dependence in Univariate Time Series An Empirical Investigation of the Austrian Unemployment Rate," MPRA Paper 77809, University Library of Munich, Germany.
    6. Patrick Honohan, 1995. "The Impact of Financial and Fiscal Policies on Saving," Papers WP059, Economic and Social Research Institute (ESRI).
    7. Hommes, C.H. & Manzan, S., 2005. "Testing for Nonlinear Structure and Chaos in Economic Time Series: A Comment," CeNDEF Working Papers 05-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    8. Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009. "Energy sector pricing: On the role of neglected nonlinearity," Energy Economics, Elsevier, vol. 31(3), pages 492-502, May.
    9. Cars Hommes & Sebastiano Manzan, 2006. "Testing for Nonlinear Structure and Chaos in Economic Time. A Comment," Tinbergen Institute Discussion Papers 06-030/1, Tinbergen Institute.

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