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Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size
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Cited by:
- Barnett, William A. & Serletis, Apostolos & Serletis, Demitre, 2015.
"Nonlinear And Complex Dynamics In Economics,"
Macroeconomic Dynamics, Cambridge University Press, vol. 19(8), pages 1749-1779, December.
- William A. Barnett & Alfredo Medio & Apostolos Serletis, 1997. "Nonlinear and Complex Dynamics in Economics," Econometrics 9709001, University Library of Munich, Germany.
- William Barnett & Apostolos Serletis & Demitre Serletis, 2012. "Nonlinear and Complex Dynamics in Economics," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201238, University of Kansas, Department of Economics, revised Sep 2012.
- William Barnett & Alfredo Medio & Apostolos Serletis, 2012. "Nonlinear And Complex Dynamics In Economics," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201223, University of Kansas, Department of Economics, revised Sep 2012.
- Barnett, William A. & Serletis, Apostolos & Serletis, Demitre, 2012. "Nonlinear and Complex Dynamics in Economics," MPRA Paper 41245, University Library of Munich, Germany.
- William A. Barnett & Marcelle Chauvet & Heather L. R. Tierney, 2011.
"Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach,"
World Scientific Book Chapters, in: Financial Aggregation And Index Number Theory, chapter 7, pages 207-249,
World Scientific Publishing Co. Pte. Ltd..
- Barnett, William A. & Chauvet, Marcelle & Tierney, Heather L. R., 2009. "Measurement Error In Monetary Aggregates: A Markov Switching Factor Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 13(S2), pages 381-412, September.
- William Barnett & Marcelle Chauvet & Heather L. R. Tierney, 2007. "Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200706, University of Kansas, Department of Economics, revised Aug 2008.
- Barnett, William A. & Chauvet, Marcelle & Tierney, Heather L. R., 2008. "Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach," MPRA Paper 10179, University Library of Munich, Germany.
- Barnett, William A. & Chauvet, Marcelle & Tierney, Heather L. R., 2007. "Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach," MPRA Paper 10150, University Library of Munich, Germany, revised 06 Aug 2008.
- Barnett, William A. & Chauvet, Marcelle & Tierney, Heather L. R., 2007. "Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach," MPRA Paper 5770, University Library of Munich, Germany.
- Christophe Gouel, 2012.
"Agricultural Price Instability: A Survey Of Competing Explanations And Remedies,"
Journal of Economic Surveys, Wiley Blackwell, vol. 26(1), pages 129-156, February.
- Christophe C. Gouel, 2012. "Agricultural price instability: a survey of competing explanations and remedies," Post-Print hal-01001218, HAL.
- Barnett, William A. & Serletis, Apostolos, 2000.
"Martingales, nonlinearity, and chaos,"
Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 703-724, June.
- William A. Barnett & Apostolos Serletis, 1998. "Martingales, Nonlinearity, and Chaos," Econometrics 9805003, University Library of Munich, Germany.
- William Barnett & Apostolos Serletis, 2012. "Martingales, Nonlinearity, And Chaos," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201225, University of Kansas, Department of Economics, revised Sep 2012.
- Caraiani, Petre, 2012. "Is the Romanian Business Cycle Characterized by Chaos?," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 142-151, September.
- William A. Barnett & Melvin J. Hinich & Piyu Yue, 2011.
"The Exact Theoretical Rational Expectations Monetary Aggregate,"
World Scientific Book Chapters, in: Financial Aggregation And Index Number Theory, chapter 2, pages 53-84,
World Scientific Publishing Co. Pte. Ltd..
- Barnett, William A. & Hinich, Melvin J. & Yue, Piyu, 2000. "The Exact Theoretical Rational Expectations Monetary Aggregate," Macroeconomic Dynamics, Cambridge University Press, vol. 4(2), pages 197-221, June.
- William A. Barnett & Melvin J. Hinich & Piyu Yue, 2000. "The Exact Theoretical Rational Expectations Monetary Aggregate," Macroeconomics 0003004, University Library of Munich, Germany.
- William Barnett & Melvin J. Hinich & Piyu Yue, 2012. "The Exact Theoretical Rational Expectations Monetary Aggregate," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201229, University of Kansas, Department of Economics, revised Sep 2012.
- William A. Barnett, 2000.
"Perspective on the Current State of Macroeconomic Theory,"
Contributions to Economic Analysis, in: The Theory of Monetary Aggregation, pages 593-605,
Emerald Group Publishing Limited.
- William A. Barnett, 1996. "A Perspective on the Current State of Macroeconomic Theory," Macroeconomics 9602003, University Library of Munich, Germany.
- William Barnett, 2012. "A Perspective on the Current State of Macroeconomic Theory," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201218, University of Kansas, Department of Economics, revised Sep 2012.
- Saadi, Samir & Rahman, Abdul, 2008. "Evidence of non-stationary bias in scaling by square root of time: Implications for Value-at-Risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(3), pages 272-289, July.
- Kyrtsou, Catherine & Serletis, Apostolos, 2006. "Univariate tests for nonlinear structure," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 154-168, March.
- Serletis, Apostolos & He, Mingyu & Chowdhury, M.M. Islam, 2023. "Chaos in long-maturity real rates," Economics Letters, Elsevier, vol. 225(C).
- Abdul Rahman & Samir Saadi, 2008.
"Random walk and breaking trend in financial series: An econometric critique of unit root tests,"
Review of Financial Economics, John Wiley & Sons, vol. 17(3), pages 204-212, August.
- Rahman, Abdul & Saadi, Samir, 2008. "Random walk and breaking trend in financial series: An econometric critique of unit root tests," Review of Financial Economics, Elsevier, vol. 17(3), pages 204-212, August.
- Shintani, Mototsugu, 2008.
"A dynamic factor approach to nonlinear stability analysis,"
Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2788-2808, September.
- Mototsugu Shintani, 2004. "A Dynamic Factor Approach to Nonlinear Stability Analysis," Levine's Bibliography 122247000000000621, UCLA Department of Economics.
- Mototsugu Shintani, 2004. "A Dynamic Factor Approach to Nonlinear Stability Analysis," Econometric Society 2004 Far Eastern Meetings 538, Econometric Society.
- Mototsugu Shintani, 2004. "A Dynamic Factor Approach to Nonlinear Stability Analysis," Vanderbilt University Department of Economics Working Papers 0418, Vanderbilt University Department of Economics.
- Elena Olmedo & Ricardo Gimeno & Lorenzo Escot & Ruth Mateos, 2007. "Convergencia y Estabilidad de los Tipos de Cambio Europeos: Una Aplicación de Exponentes de Lyapunov," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 44(129), pages 91-108.
- William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan, 2004.
"A Single-Blind Controlled Competition Among Tests for Nonlinearity and Chaos,"
Contributions to Economic Analysis, in: Functional Structure and Approximation in Econometrics, pages 581-615,
Emerald Group Publishing Limited.
- Barnett, William A. & Gallant, A. Ronald & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1997. "A single-blind controlled competition among tests for nonlinearity and chaos," Journal of Econometrics, Elsevier, vol. 82(1), pages 157-192.
- William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen, 1996. "A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos," Econometrics 9602005, University Library of Munich, Germany, revised 29 Jan 1997.
- William Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen, 2012. "A Single-Blind Controlled Competition Among Tests For Nonlinearity And Chaos," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201219, University of Kansas, Department of Economics, revised Sep 2012.
- Mototsugu Shintani & Oliver Linton, 2003.
"Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(1), pages 331-357, February.
- Mototsugu Shintani & Oliver Linton, 2001. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," Vanderbilt University Department of Economics Working Papers 0111, Vanderbilt University Department of Economics.
- Oliver Linton & Mototsugu Shintani, 2001. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," FMG Discussion Papers dp383, Financial Markets Group.
- Serletis, Apostolos & Shintani, Mototsugu, 2006. "Chaotic monetary dynamics with confidence," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 228-252, March.
- Shintani, Mototsugu & Linton, Oliver, 2004.
"Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos,"
Journal of Econometrics, Elsevier, vol. 120(1), pages 1-33, May.
- Oliver Linton & Mototsugu Shintani, 2002. "Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series 434, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Oliver Linton & Mototsugu Shintani, 2003. "Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series 455, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Shintani, Mototsugu & Linton, Oliver, 2002. "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics 2093, London School of Economics and Political Science, LSE Library.
- Shintani, Mototsugu & Linton, Oliver, 2003. "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics 2097, London School of Economics and Political Science, LSE Library.
- Linton, Oliver & Shintani, Mototsugu, 2002. "Nonparametric neutral network estimation of lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics 58170, London School of Economics and Political Science, LSE Library.
- Mototsugu Shintani & Oliver Linton, 2003. "Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," Vanderbilt University Department of Economics Working Papers 0309, Vanderbilt University Department of Economics.
- Caraiani, Petre, 2014. "What drives the nonlinearity of time series: A frequency perspective," Economics Letters, Elsevier, vol. 125(1), pages 40-42.
- Nesmith Travis D & Jones Barry E, 2008.
"Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-18, March.
- Barry E. Jones & Travis D. Nesmith, 2006. "Linear cointegration of nonlinear time series with an application to interest rate dynamics," Finance and Economics Discussion Series 2007-03, Board of Governors of the Federal Reserve System (U.S.).
- Marisa Faggini, 2011. "Chaotic Time Series Analysis in Economics: Balance and Perspectives," Working papers 25, Former Department of Economics and Public Finance "G. Prato", University of Torino.
- Aghababa, Hajar & Barnett, William A., 2016.
"Dynamic structure of the spot price of crude oil: does time aggregation matter?,"
Energy Economics, Elsevier, vol. 59(C), pages 227-237.
- Barnett, William & Aghababa, Hajar, 2016. "Dynamic Structure of the Spot Price of Crude Oil: Does Time Aggregation Matter?," MPRA Paper 73240, University Library of Munich, Germany.
- William A. Barnett & Hajar Aghababa, 2016. "Dynamic Structure of the Spot Price of Crude Oil: Does Time Aggregation Matter?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201602, University of Kansas, Department of Economics, revised Aug 2016.
- Olmedo, Elena, 2011. "Is there chaos in the Spanish labour market?," Chaos, Solitons & Fractals, Elsevier, vol. 44(12), pages 1045-1053.
- Petre Caraiani, 2012. "Evidence of Multifractality from Emerging European Stock Markets," PLOS ONE, Public Library of Science, vol. 7(7), pages 1-9, July.
- Ioannis Andreadis & Athanasios D. Fragkou & Theodoros E. Karakasidis & Apostolos Serletis, 2023. "Nonlinear dynamics in Divisia monetary aggregates: an application of recurrence quantification analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-17, December.
- Serletis, Apostolos & Uritskaya, Olga Y., 2007. "Detecting signatures of stochastic self-organization in US money and velocity measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 385(1), pages 281-291.
- William Barnett & Barry E. Jones & Milka Kirova & Travis D. Nesmith & Meenakshi Pasupathy1, 2004.
"The Nonlinear Skeletons in the Closet,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
200403, University of Kansas, Department of Economics, revised May 2004.
- William A. Barnett & Barry E. Jones & Milka Kirova & Travis Nesmith & Meenakshi Pasupathy, 2004. "The Nonlinear Skeletons in the Closet," Econometrics 0405003, University Library of Munich, Germany.
- Olmedo, Elena & Mateos, Ruth, 2015. "Quantitative characterization of chaordic tourist destination," Tourism Management, Elsevier, vol. 47(C), pages 115-126.