ISSN:0883-7252    

DOI:10.1002/jae.3950070502

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1992

数据来源: WILEY

摘要:

AbstractThe capacity of nonlinear dynamic models to mimic qualitative features of economic data is illustrated with an adaptive version of the neoclassical growth theory. Implications for econometric methodology are discussed, emphasizing structural estimation andqualitativeinference.

ISSN:0883-7252    

DOI:10.1002/jae.3950070503

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1992

数据来源: WILEY

摘要:

AbstractWe consider two ways of distinguishing deterministic time‐series from stochastic white noise; the Grassberger—Procaccia correlation exponent test and the Brock, Dechert, Scheinkman (or BDS) test. Using simulated data to test the power of these tests, the correlation exponent test can distinguish white noise from chaos. It cannot distinguish white noise from chaos mixed with a small amount of white noise. With i.i.d. as the null, the BDS correctly rejects the null when the data are deterministic chaos. Although the BDS test may also reject the null even when the data are stochastic, it may be useful in distinguishing between linear and nonlinear stochastic proces

ISSN:0883-7252    

DOI:10.1002/jae.3950070504

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1992

数据来源: WILEY

摘要:

AbstractThe common observation made in the empirical nonlinear dynamics literature is the constraints imposed by the availability of a limited number of observations in the implementation of the existing algorithms of Lyapunov exponents. The algorithm discussed here can estimate allnLyapunov exponents of an unknownn‐dimensional dynamical system accurately with limited number of observations. This makes the algorithm attractive for applications to economic as well as financial time‐series data. The implementation of the algorithm is carried out by multilayer feedforward networks which are capable of approximating any function and its derivatives to any degree of accur

ISSN:0883-7252    

DOI:10.1002/jae.3950070505

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1992

数据来源: WILEY

摘要:

AbstractA theory of testing under non‐standard conditions is developed. By viewing the likelihood as a function of the unknown parameters, empirical process theory enables us to bound the asymptotic distribution of standardized likelihood ratio statistics, even when conventional regularity conditions (such as unidentified nuisance parameters and identically zero scores) are violated. This testing methodology is applied to the Markov switching model of GNP proposed by Hamilton (1989). The standardized likelihood ratio test is unable to reject the hypothesis of an AR(4) in favour of the Markov switching model. Instead, we find strong evidence for an alternative model. This model, like Hamilton's, is characterized by parameters which switch between states, but the states arrive independently over time, rather than following an unrestricted Markov process. The primary difference, however, is that the second autoregressive parameter, in addition to the intercept, switches between state

ISSN:0883-7252    

DOI:10.1002/jae.3950070506

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1992

数据来源: WILEY

摘要:

AbstractWhat is the best characterization of mergers and acquisitions time‐series? The traditional response is that mergers occur in ‘waves’. I estimate a two‐state, Markov switching‐regime model which should capture wave structure if it is present in the data. Linear and nonlinear diagnostics tests suggest that the switching regime model fits the data well, and better than ARIMA models. Said differently, the underlying pattern in the M&A data can be characterized by dichotomous shifts between high and low levels of activity. In addition, objective inferences about the precise dates for these waves are available through a nonline

ISSN:0883-7252    

DOI:10.1002/jae.3950070507

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1992

数据来源: WILEY

摘要:

AbstractSearch and matching models imply that firms' employment adjustment costs depend on the tightness of the labour market, giving rise to endogenous or nonlinear dynamics in employment. This paper sets this argument out in detail, estimating a model simultaneously explaining the long‐run level of employment and the nonlinear dynamics. The main implications of the estimated model are (a) the effect of a given shock to the long‐run level of employment is markedly different at different levels of employment, and (b) asymmetric business cycles result with the downswing in employment being sharper and deeper than the upsw

ISSN:0883-7252    

DOI:10.1002/jae.3950070508

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1992

数据来源: WILEY

摘要:

AbstractDuring the past few years investigators have found evidence indicating that various time‐series representing business cycles, such as production and unemployment, may be nonlinear. In this paper it is assumed that if the time‐series is nonlinear, then it can be adequately described by a smooth transition autoregressive (STAR) model. The paper describes the application of these models to quarterly logarithmic production indices for 13 countries and ‘Europe’. Tests reject linearity for most of these series, and estimated STAR models indicate that the nonlinearity is needed mainly to describe the responses of production to large negative shocks such as oil price

ISSN:0883-7252    

DOI:10.1002/jae.3950070509

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1992

数据来源: WILEY

摘要:

AbstractThis paper explores the possibility of improved out of sample forecasting for stock returns and foreign exchange rates using observed nonlinearities in the two series. Forecasting is done using nonparametric techniques where important information is obtained from the current level of volatility in the series. For both series forecast improvements are observed, but for stock returns the improvements are only marginal. These results indicate the usefulness and stability of some types of nonlinear modelling for financial markets.

ISSN:0883-7252    

DOI:10.1002/jae.3950070510

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1992

数据来源: WILEY

摘要:

AbstractExchange rate modelling has been a persistent puzzle for international economists. Forecasts from popular models for the exchange rate generally fail to improve upon the random walk out‐of‐sample. While a multivariate nonparametric approach provides useful information about exchange rates, the model produces forecasts superior to the random walk for only one of the three EMS currencies examined. Using a statistic developed in Mizrach (1991), I find that the forecast improvement, a 4.5 percent reduction in mean squared error for the Lira in daily returns, is not statistically significant. A cross‐validation exercise suggests that the improvement is also not r

ISSN:0883-7252    

DOI:10.1002/jae.3950070511

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1992

数据来源: WILEY