Recurrence analysis techniques for non-stationary and non-linear data
When analysing food consumption data a number of problems arise when one departs from the comparative statics of conventional demand theory. Two of these properties, non-linearity and non-stationarity present a major challenge for econometric modelling. A new method for time series analysis, namely recurrence analysis, is outlined which allows for robust analysis of data that can not be satisfactorily handled with established econometric methods. The method is explained and applied to specific food consumption data. General implications for empirical modelling of similar data are inferred.
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.:
- Joseph Beaulieu, J. & Miron, Jeffrey A., 1993.
"Seasonal unit roots in aggregate U.S. data,"
Journal of Econometrics,
Elsevier, vol. 55(1-2), pages 305-328.
- Peter C.B. Phillips, 1985.
"Understanding Spurious Regressions in Econometrics,"
Cowles Foundation Discussion Papers
757, Cowles Foundation for Research in Economics, Yale University.
- Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
- Neil Shephard & Jurgen Doornik & Siem Jan Koopman, 1998.
"Statistical algorithms for models in state space using SsfPack 2.2,"
Economics Series Working Papers
1998-W06, University of Oxford, Department of Economics.
- Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999. "Statistical algorithms for models in state space using SsfPack 2.2," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.
- Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998. "Statistical Algorithms for Models in State Space Using SsfPack 2.2," Discussion Paper 1998-141, Tilburg University, Center for Economic Research.
- Henrik Hansen & Søren Johansen, 1999. "Some tests for parameter constancy in cointegrated VAR-models," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 306-333.
- Harvey, A.C. & Koopman, S.J.M., 1999.
"Signal Extraction and the Formulation of Unobserved Components Models,"
1999-44, Tilburg University, Center for Economic Research.
- Andrew Harvey & Siem Jan Koopman, 2000. "Signal extraction and the formulation of unobserved components models," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 84-107.
- Hoch, Stephen J & Loewenstein, George F, 1991. " Time-Inconsistent Preferences and Consumer Self-Control," Journal of Consumer Research, Oxford University Press, vol. 17(4), pages 492-507, March.
- Thaler, Richard, 1981. "Some empirical evidence on dynamic inconsistency," Economics Letters, Elsevier, vol. 8(3), pages 201-207.
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpmi:0409003. 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: (EconWPA)
If references are entirely missing, you can add them using this form.