We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An...

We propose information theoretic tests for serial independence and linearity in time series. The test statistics are based on the conditional mutual information, a general measure of dependence between lagged variables. In case of rejecting the null hypothesis, this readily provides insights...

This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine Kyrtsou and Apostolos Serletis. We summarize their main results and discuss some of their conclusions concerning the role of outliers and noisy chaos. In particular, we include...