8 Nonlinear time series and macroeconometrics

摘要: Publisher Summary This chapter discusses recent advances in econometric techniques that have allowed economists to assess both the validity of assumption linear stochastic dynamics and requirement exogenous driving forces, examines two potential types nonlinear economic time series. The first type is series generated by a map with chaotic properties. output may be observed through an “observer” function which is, perhaps, buffeted measurement noise. itself perturbed second difference equation propagated additive noise satisfies martingale property. emphasizes on testing for structure types, methodology its origins deterministic chaos concept correlation integrals.