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Testing for nonlinear structure and chaos in economic time series : a comment

Hommes, Cars H.; Manzan, Sebastiano - 2005 - August 2005, Journal of Macroeconomics, forthcoming

This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine … outliers and noisy chaos. In particular, we include some new simulations to investigate whether economic time series may be … characterized by low dimensional noisy chaos. …

Persistent link: https://www.econbiz.de/10011349217

Partially linear functional-coefficient dynamic panel data models : sieve estimation and specification testing

Zhang, Yonghui; Zhou, Qiankun - In: Econometric reviews 40 (2021) 10, pp. 983-1006

Persistent link: https://www.econbiz.de/10012624569

Specification testing of production in a stochastic frontier model

Guo, Xu; Li, Gao-Rong; McAleer, Michael; Wong, Wing Keung - 2017

Parametric production frontier functions are frequently used in stochastic frontier models, but there do not seem to be any empirical test statistics for its plausibility. To bridge the gap in the literature, we develop two test statistics based on local smoothing and an empirical process,...

Persistent link: https://www.econbiz.de/10011739112

Counter intuitive results in a simple model of wage negotiations

Houba, Harold; Lomwel, Gijsbert van - 1998

Short-term contracts and exogenous productivity growth are introduced in asimple wage bargaining model. The equilibrium utilities corresponding tomilitant union behaviour are independent of the contract length. The wagedynamics are linear if strike is credible (low wage shares) and...

Persistent link: https://www.econbiz.de/10011299962

From self-fulfilling mistakes to behavioral learning equilibria

Hommes, Cars H. - 2017

This essay links some of my own work on expectations, learning and bounded rationality to the inspiring ideas of Jean-Michel Grandmont. In particular, my work on consistent expectations and behavioral learning equilibria may be seen as formalizations of JMG's ideas of self-fulfilling mistakes....

Persistent link: https://www.econbiz.de/10011590425

Diagnostic tools for nonlinearity in spatial models

Graaff, Thomas de; Florax, Raymond J. G. M.; Nijkamp, Peter - 1998

econometrics to nonlinearity tests for empirical data series, in particular the so-called BDS (Brock, Dechert, Scheinkman) test. A … availability and accessibility of sophisticated computational techniques. Among the class of nonlinear models chaos theory stands … significance - in terms of solid empirical tests on chaos - has still been rather limited and a rigorous statistical …

Persistent link: https://www.econbiz.de/10011299990

Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH

Brännäs, Kurt; Gooijer, Jan G. de - 2000

The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...

Persistent link: https://www.econbiz.de/10011303289

A note on nonlinear cointegration, misspecification, and bimodality

Medeiros, Marcelo C.; Mendes, Eduardo F.; Oxley, Les - In: Econometric reviews 33 (2014) 7, pp. 713-731

Persistent link: https://www.econbiz.de/10010363888

A Monte Carlo investigation of unit root tests and long memory in detecting mean reversion in I(0) regime switching, structural break, and nonlinear data

Smallwood, Aaron D. - In: Econometric reviews 35 (2016) 5/7, pp. 986-1012

Persistent link: https://www.econbiz.de/10011590992

Portmanteau tests for linearity of stationary time series

Psaradakis, Zacharias G.; Vávra, Marián - In: Econometric reviews 38 (2019) 2, pp. 248-262

Persistent link: https://www.econbiz.de/10012180732