Narrow search
Showing 1 - 10 of 107
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
The dynamics of real exchange rates: A reconsideration
Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011
While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving the process is largely build upon a priori economic belief rather than a thorough statistical modeling procedure. The two prevailing time series models, i.e. the exponential...
Persistent link: https://www.econbiz.de/10010289015
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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