Symbolic Time Series Analysis and Economic Regimes
Structural Change and Economic Dynamics, Vol. 14, No. 2, pp. 159-183
20 Pages Posted: 23 Jan 2001 Last revised: 14 Jun 2011
Date Written: October 1, 2000
Abstract
In this paper I describe and apply the methods of Symbolic Time Series Analysis (STSA) to an experimental framework. The idea behind Symbolic Time Series Analysis is simple: the values of a given time series data are transformed into a finite set of symbols obtaining a finite string. Then, we can process the symbolic sequence using tools from information theory and symbolic dynamics. I discuss data symbolization as a tool for identifying temporal patterns in experimental data and use symbol sequence statistics in a model strategy. In this application the data symbolization is based on economic criteria using the notion of economic regime.
Keywords: Qualitative Data, Symbolic Time Series, Symbolic Dynamics, Economic Regime
JEL Classification: C10, C14, C40
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