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A bootstrap detection for operational determinism

Author

Listed:
  • Yao, Qiwei
  • Tong, Howell

Abstract

We propose a bootstrap detection for operationally deterministic versus stochastic nonlinear modelling and illustrate the method with both simulated and real data sets.

Suggested Citation

  • Yao, Qiwei & Tong, Howell, 1998. "A bootstrap detection for operational determinism," LSE Research Online Documents on Economics 6697, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:6697
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    File URL: http://eprints.lse.ac.uk/6697/
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    Citations

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    Cited by:

    1. Wolff Rodney & Yao Qiwei & Tong Howell, 2004. "Statistical Tests for Lyapunov Exponents of Deterministic Systems," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-19, May.
    2. Matilla-García, Mariano & Marín, Manuel Ruiz, 2010. "A new test for chaos and determinism based on symbolic dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 600-614, December.
    3. Wolff Rodney & Yao Qiwei & Tong Howell, 2004. "Statistical Tests for Lyapunov Exponents of Deterministic Systems," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-19, May.
    4. Tak Kuen Siu, 2024. "Bayesian Lower and Upper Estimates for Ether Option Prices with Conditional Heteroscedasticity and Model Uncertainty," JRFM, MDPI, vol. 17(10), pages 1-32, September.
    5. Kobayashi, Hiroaki & Gotoda, Hiroshi & Tachibana, Shigeru, 2018. "Nonlinear determinism in degenerated combustion instability in a gas-turbine model combustor," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 345-354.
    6. Kugiumtzis Dimitris, 2008. "Evaluation of Surrogate and Bootstrap Tests for Nonlinearity in Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-26, March.

    More about this item

    Keywords

    bandwidth; kernel regression; operational determinism; stochastic noise;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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