Testing for Nonlinear Structure and Chaos in Economic Time Series

Hommes, Cars H.; Manzan, S.

doi:10.2139/ssrn.894222

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Testing for Nonlinear Structure and Chaos in Economic Time Series

Tinbergen Institute Discussion Papers No. 2006-030/1

12 Pages Posted: 4 Apr 2006

See all articles by Cars H. Hommes

Cars H. Hommes

Government of Canada - Bank of Canada; CeNDEF, Amsterdam School of Economics, University of Amsterdam; Tinbergen Institute

S. Manzan

University of Amsterdam - Department of Quantitative Economics (KE)

Date Written: March 2006

Abstract

This short paper is a comment on "Testing for Nonlinear Structure and Chaos in Economic Time Series" by Catherine Kyrtsou and Apostolos Serletis. We summarize their main results and discuss some of their conclusions concerning the role of 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.

Keywords: nonlinearity, chaos, noise, self-organized criticality, Mackey-Glass-GARCH

JEL Classification: C22, C45, C61

Suggested Citation: Suggested Citation

Hommes, Cars H. and Manzan, Sebastiano, Testing for Nonlinear Structure and Chaos in Economic Time Series (March 2006). Tinbergen Institute Discussion Papers No. 2006-030/1, Available at SSRN: https://ssrn.com/abstract=894222 or http://dx.doi.org/10.2139/ssrn.894222