Complex Dynamics in Macroeconomics: A Novel Approach
NEW TRENDS IN MACROECONOMICS, C. Diebolt and C. Kyrtsou, eds., Springer-Verlag, Berlin, September 2005
Posted: 23 Jun 2007
In this work we employ the Recurrence Quantification Analysis (RQA) framework, effective in discovering evidence of non-linear determinism and complex dynamics in short, noisy and irregular signals. We apply RQA to a set of US macroeconomic time series and simulated sequences in order to provide a classification based on topological aspects of their dynamics. Through RQA we can in general obtain useful information on the quality and complexity of the structure of the dynamics in an economy, as this is embedded in its macroeconomic time series.
Keywords: Recurrence Plots, Recurrence Quantification Analysis, Chaos,
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