IDEAS home Printed from https://ideas.repec.org/p/ags/uwssri/292598.html
   My bibliography  Save this paper

Distinguishing Random And Deterministic Systems

Author

Listed:
  • Brock, W. A.

Abstract

This paper discusses tests on time series for the presence of low dimensional deterministic chaos. Empirical applications on U.S. business cycle data are reviewed. Two tasks are necessary to test a time series for (low dimensional) deterministic chaos: (1) dimension must be calculated and shown to be low relative to comparable (psuedo) random numbers; (2) Lyapunov exponents and other measures of local instability must be calculated and show local instability relative to a useful standard. The evidence for low dimensional deterministic chaos in U.S. postwar II GNP data is weak (English). Brock: University of Wisconsin, Madison, Wisconsin. Journal of Economic Literature Classification Numbers: 023, 211, 213.

Suggested Citation

  • Brock, W. A., 1985. "Distinguishing Random And Deterministic Systems," SSRI Workshop Series 292598, University of Wisconsin-Madison, Social Systems Research Institute.
    • Handle: RePEc:ags:uwssri:292598
    DOI: 10.22004/ag.econ.292598
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/292598/files/uwmad-0018.PDF
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.292598?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dominique Guegan & Guillaume Leorat, 1997. "Consistent estimation to determine the embedding dimension in financial data; with an application to the dollar/deutschmark exchange rate," The European Journal of Finance, Taylor & Francis Journals, vol. 3(3), pages 231-242.

    More about this item

    Keywords

    Research Methods/ Statistical Methods;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:uwssri:292598. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/ssuwius.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.