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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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A Generalized BDS Statistic
Matilla-GarcÍa, M.; Queralt, R.; Sanz, P.; VÁzquez, F. - In: Computational Economics 24 (2004) 3, pp. 277-300
The BDS statistic, rooted on the correlation integral, has been proven to be useful for different problems. But although the correlation integral is defined for any choice of delay time, the BDS statistic assumes delay time is one. As different studies have shown, an adequate choice of delay...
Persistent link: https://www.econbiz.de/10005701778
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Testing for Nonlinear Structure and Chaos in Economic Time. A Comment.
Hommes, Cars; Manzan, Sebastiano - Tinbergen Institute - 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/10005144529
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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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The Nonlinear Skeletons in the Closet
Barnett, William A.; Jones, Barry E.; Kirova, Milka; … - EconWPA - 2004
Although nonlinearity is the rule in economic theory, nonlinearity tends to make life difficult for econometricians. While there have been many advances in nonlinear econometrics in recent years, some problems produced by nonlinearity remain 'skeletons in the closet' in empirical economic...
Persistent link: https://www.econbiz.de/10005556393
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Testing for Nonlinear Structure and Chaos in Economic Time. A Comment.
Hommes, Cars; Manzan, Sebastiano - Tinbergen Instituut - 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/10011255740