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Recurrence analysis techniques for non-stationary and non-linear data

Philip Kostov and John Lingard
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John Lingard: University of Newcastle

Microeconomics from University Library of Munich, Germany

Abstract: When analysing food consumption data a number of problems arise when one departs from the comparative statics of conventional demand theory. Two of these properties, non-linearity and non-stationarity present a major challenge for econometric modelling. A new method for time series analysis, namely recurrence analysis, is outlined which allows for robust analysis of data that can not be satisfactorily handled with established econometric methods. The method is explained and applied to specific food consumption data. General implications for empirical modelling of similar data are inferred.

JEL-codes: C22 C40 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2004-09-15
New Economics Papers: this item is included in nep-ets
Note: Type of Document - pdf; pages: 22
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpmi:0409003

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