Testing for Nonlinear Structure and Chaos in Economic Time. A Comment.

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.

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Year of publication:	2006
Authors:	Hommes, Cars ; Manzan, Sebastiano
Publisher:	Amsterdam and Rotterdam : Tinbergen Institute
Subject:	nonlinearity \| chaos \| noise \| self-organized criticality \| Mackey-Glass-GARCH

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Series:	Tinbergen Institute Discussion Paper ; 06-030/1
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	837488230 [GVK] hdl:10419/86218 [Handle] RePEc:dgr:uvatin:20060030 [RePEc]
Classification:	C22 - Time-Series Models ; C45 - Neural Networks and Related Topics ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	EconStor

Persistent link: https://www.econbiz.de/10010325181