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Testing for Nonlinear Structure and Chaos in Economic Time. A Comment.
Hommes, Cars; Manzan, Sebastiano - 2006
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/10010325181
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A Fast Algorithm for the BDS Statistic
LeBaron, Blake - In: Studies in Nonlinear Dynamics & Econometrics 2 (1997) 2
The BDS statistic has proved to be one of several useful nonlinear diagnostics. It has been shown to have good power against many nonlinear alternatives, and its asymptotic properties as a residual diagnostic are well understood. Furthermore, extensive Monte Carlo results have proved it useful...
Persistent link: https://www.econbiz.de/10014620800
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A Generalized Fast Algorithm for BDS-Type Statistics
Mayer-Foulkes, David - In: Studies in Nonlinear Dynamics & Econometrics 4 (2000) 1
We provide a fast algorithm to calculate the m-dimensional distance histogram on which Brock, Dechert, and Sheinkman's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram for any finite set of distances simultaneously, and...
Persistent link: https://www.econbiz.de/10014620826
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Etude de la dynamique non-linéaire des rentabilités de la bourse de Casablanca
RIANE, Nizare - Volkswirtschaftliche Fakultät, … - 2014
The preponderance of the linear approach in the stock market modeling is the result of the Frisch-Slutsky paradigm which implies that the market can only converge to an equilibrium point or diverge, according to a monotonic or oscillatory trajectory. Moreover, this description of reality is...
Persistent link: https://www.econbiz.de/10011156979
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Survey paper on adaptive agents applied to advanced planning and scheduling
Ehrlich, Donna M.; Ehrlich, Jeff A. - In: International Journal of Engineering Management and … 1 (2010) 2/3, pp. 200-209
This research investigates the study of the concept of adaptation as a foundation to guide management in creating a planning and scheduling system. The review paper identifies theories that are being studied in relation to the process of adaptation using genetic algorithms as well as adaptive...
Persistent link: https://www.econbiz.de/10010817083
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A SINGLE-BLIND CONTROLLED COMPETITION AMONG TESTS FOR NONLINEARITY AND CHAOS*
Barnett, William; Gallant, A. Ronald; Hinich, Melvin J.; … - Department of Economics, University of Kansas - 2012
Interest has been growing in testing for nonlinearity or chaos in economic data, but much controversy has arisen about …-blind controlled competition among five highly regarded tests for nonlinearity or chaos with ten simulated data series. The data … for nonlinearity or noisy chaos. …
Persistent link: https://www.econbiz.de/10010900173
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A Fast Algorithm for the BDS Statistic
LeBaron, Blake - In: Studies in Nonlinear Dynamics & Econometrics 2 (2007) 2, pp. 53-59
The BDS statistic has proved to be one of several useful nonlinear diagnostics. It has been shown to have good power against many nonlinear alternatives, and its asymptotic properties as a residual diagnostic are well understood. Furthermore, extensive Monte Carlo results have proved it useful...
Persistent link: https://www.econbiz.de/10004966187
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A Generalized Fast Algorithm for BDS-Type Statistics
Mayer-Foulkes, David - In: Studies in Nonlinear Dynamics & Econometrics 4 (2007) 1, pp. 45-50
We provide a fast algorithm to calculate the m-dimensional distance histogram on which Brock, Dechert, and Sheinkman's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram for any finite set of distances simultaneously, and...
Persistent link: https://www.econbiz.de/10004966222
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Ancient and Current Chaos Theories
Gunduz, G. - In: Interdisciplinary Description of Complex Systems - … 4 (2006) 1, pp. 1-18
Chaos theories developed in the last three decades have made very important contributions to our understanding of … dynamical systems and natural phenomena. The meaning of chaos in the current theories and in the past is somewhat different from … of the views of ancient philosophers. The meaning of chaos in Anaximenes' philosophy and its role in the Ancient natural …
Persistent link: https://www.econbiz.de/10005082592
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A Generalized Fast Algorithm for BDS-Type Statistics
Mayer-Foulkes, David - In: Studies in Nonlinear Dynamics & Econometrics 4 (2000) 1, pp. 45-50
We provide a fast algorithm to calculate the m-dimensional distance histogram on which Brock, Dechert, and Sheinkman's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram for any finite set of distances simultaneously, and...
Persistent link: https://www.econbiz.de/10005584891