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Comparing Random and Deterministic Time Series

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  • Radunskaya, Amy

Abstract

This paper addresses the question of distinguishing the output of a stochastic process from that of a deterministic process. An impossibility theorem is described which states that time a series resulting from deterministic B-processes is observationally equivalent to, and hence indistinguishable from, the output of a continuous time Markov process on a finite number of states.

Suggested Citation

  • Radunskaya, Amy, 1994. "Comparing Random and Deterministic Time Series," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 4(5), pages 765-776, August.
    • Handle: RePEc:spr:joecth:v:4:y:1994:i:5:p:765-76
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    Cited by:

    1. Hommes, Cars H. & Rosser,, J. Barkley, 2001. "Consistent Expectations Equilibria And Complex Dynamics In Renewable Resource Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 5(02), pages 180-203, April.
    2. Dudek, Maciej K., 2010. "A consistent route to randomness," Journal of Economic Theory, Elsevier, vol. 145(1), pages 354-381, January.
    3. Barnett, William A. & Serletis, Apostolos, 2000. "Martingales, nonlinearity, and chaos," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 703-724, June.
    4. Serletis, Apostolos & Shintani, Mototsugu, 2006. "Chaotic monetary dynamics with confidence," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 228-252, March.
    5. Sorger, Gerhard, 1998. "Imperfect foresight and chaos: an example of a self-fulfilling mistake," Journal of Economic Behavior & Organization, Elsevier, vol. 33(3-4), pages 363-383, January.
    6. Dudek, Maciej K., 2014. "Living in an imaginary world that looks real," Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 209-223.

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