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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)
Date: 1985-08
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Persistent link: https://EconPapers.repec.org/RePEc:ags:uwssri:292598

DOI: 10.22004/ag.econ.292598

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