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| Author: | Takala, K. Viren, M. |
| Title: | Chaos and nonlinear dynamics in financial and nonfinancial time series: evidence from Finland |
| Journal: | European Journal of Operational Research
1996 : AUG 23, VOL. 93:1, p. 155-172 |
| Index terms: | OPERATIONAL RESEARCH CHAOS TIME SERIES |
| Language: | eng |
| Abstract: | This paper contains a set of tests for nonlinearities in economic time series. The tests comprise both standard diagnostic test for revealing nonlinearities and some new developments in modelling nonlinearities. The latter test procedures make use of models in chaos theory, so-called long-memory models and some asymmetric adjustment models. Empirical tests are carried out with Finnish monthly data for ten macroeconomic time series covering the period 1920-1994. Test results support unambiguously the notion that there are strong nonlinearities in the data. |
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