Distinguishing Random And Deterministic Systems

W. A. Brock

No 292598, SSRI Workshop Series from University of Wisconsin-Madison, Social Systems Research Institute

Abstract: This paper discusses tests on time series for the presence of low dimensional deterministic chaos. Empirical applications on U.S. business cycle data are reviewed. Two tasks are necessary to test a time series for (low dimensional) deterministic chaos: (1) dimension must be calculated and shown to be low relative to comparable (psuedo) random numbers; (2) Lyapunov exponents and other measures of local instability must be calculated and show local instability relative to a useful standard. The evidence for low dimensional deterministic chaos in U.S. postwar II GNP data is weak (English). Brock: University of Wisconsin, Madison, Wisconsin. Journal of Economic Literature Classification Numbers: 023, 211, 213.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 34
Date: 1985-08
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://ageconsearch.umn.edu/record/292598/files/uwmad-0018.PDF (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:uwssri:292598

DOI: 10.22004/ag.econ.292598

Access Statistics for this paper

More papers in SSRI Workshop Series from University of Wisconsin-Madison, Social Systems Research Institute Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().