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Robustness of Nonlinearity and Chaos Tests to Measurement Error, Inference Method, and Sample Size

In: Functional Structure and Approximation in Econometrics

Citations

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Cited by:

  1. 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.
  2. 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.
  3. 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.
  4. 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..
  5. 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..
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. Serletis, Apostolos & Shintani, Mototsugu, 2006. "Chaotic monetary dynamics with confidence," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 228-252, March.
  14. 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.
  15. 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.
  16. 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.
  17. Caraiani, Petre, 2014. "What drives the nonlinearity of time series: A frequency perspective," Economics Letters, Elsevier, vol. 125(1), pages 40-42.
  18. 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.
  19. Olmedo, Elena, 2011. "Is there chaos in the Spanish labour market?," Chaos, Solitons & Fractals, Elsevier, vol. 44(12), pages 1045-1053.
  20. 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.
  21. Olmedo, Elena & Mateos, Ruth, 2015. "Quantitative characterization of chaordic tourist destination," Tourism Management, Elsevier, vol. 47(C), pages 115-126.
  22. Petre Caraiani, 2012. "Evidence of Multifractality from Emerging European Stock Markets," PLOS ONE, Public Library of Science, vol. 7(7), pages 1-9, July.
  23. 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.
  24. 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.
  25. 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.
  26. Kyrtsou, Catherine & Serletis, Apostolos, 2006. "Univariate tests for nonlinear structure," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 154-168, March.
  27. Serletis, Apostolos & He, Mingyu & Chowdhury, M.M. Islam, 2023. "Chaos in long-maturity real rates," Economics Letters, Elsevier, vol. 225(C).
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