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Nonparametric correlation integral-based tests for linear and nonlinear stochastic processes

Matilla-García, Mariano; Ruiz Marín, Manuel; Dore, … - In: Decisions in economics and finance : DEF ; a journal of … 37 (2014) 1, pp. 181-193

Persistent link: https://www.econbiz.de/10010340239

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

Testing for nonlinearity and chaos in economic time series with noise titration

Caraiani, Petre - In: Economics letters 120 (2013) 2, pp. 192-194

Persistent link: https://www.econbiz.de/10010127780

Is there Chaos on the German Labor Market? / Ist der deutsche Arbeitsmarkt chaotisch?

Neugart, Michael - In: Jahrbücher für Nationalökonomie und Statistik 218 (1999) 5-6, pp. 658-673

test German labor market data for the null hypothesis of an i.i.d. process with the BDS test. As several processes … core to German labor market dynamics. Chaos does not occur. … Arbeitsmarkt mit Hilfe des BDS Tests auf Nichtlinearitäten untersucht. Da der Nachweis deterministischer Nichtlinearitäten über den …

Persistent link: https://www.econbiz.de/10014608718

Asset price and wealth dynamics with heterogeneous expectations : a deterministic nonlinear structural model approach

Florian Heitger - 2010

Based on a classical financial market model different model variants known from the literature are discussed and analyzed, each focussing on modeling financial markets as a nonlinear dynamic system by introducing the formation of (heterogeneous) beliefs about future asset prices into the model...

Persistent link: https://www.econbiz.de/10009428980

Specification testing in nonstationary time series models

Chen, Jia; Gao, Jiti; Li, Degui; Lin, Zhengyan - In: The econometrics journal 18 (2015) 1, pp. 117-136

Persistent link: https://www.econbiz.de/10011345989

Testing exogeneity in nonparametric instrumental variables identified by conditional quantile restrictions

Fu, Jia-Young Michael; Horowitz, Joel; Parey, Matthias - 2015

This paper presents a test for exogeneity of explanatory variables in a nonparametric instrumental variables (IV) model whose structural function is identified through a conditional quantile restriction. Quantile regression models are increasingly important in applied econometrics. As with...

Persistent link: https://www.econbiz.de/10011350133

Volatility activity : specification and estimation

Todorov, Viktor; Tauchen, George Eugene; Grynkiv, Iaryna - In: Journal of econometrics 178 (2014) 1, pp. 180-193

Persistent link: https://www.econbiz.de/10010255447

Testing a linear dynamic panel data model against nonlinear alternatives

Lee, Yoon-jin - In: Journal of econometrics 178 (2014) 1, pp. 146-166

Persistent link: https://www.econbiz.de/10010255452

Regression discontinuity designs with unknown discontinuity points : testing and estimation

Porter, Jack; Yu, Ping - In: Journal of econometrics 189 (2015) 1, pp. 132-147

Persistent link: https://www.econbiz.de/10011502510

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