Testing for Nonlinear Structure and Chaos in Economic Time. A Comment

Cars Hommes and Sebastiano Manzan ()
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Sebastiano Manzan: University of Leicester

No 06-030/1, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine Kyrtsou and Apostolos Serletis. We summarize their main results and discuss some of their conclusions concerning the role of outliers and noisy chaos. In particular, we include some new simulations to investigate whether economic time series may be characterized by low dimensional noisy chaos.

Keywords: nonlinearity; chaos; noise; self-organized criticality; Mackey-Glass-GARCH (search for similar items in EconPapers)
JEL-codes: C22 C45 C61 (search for similar items in EconPapers)
Date: 2006-03-27
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20060030

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