Faggini, Marisa (2010): Chaos detection in economics. Metric versus topological tools.

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Abstract
In their paper Frank F., Gencay R., and Stengos T., (1988) analyze the quarterly macroeconomic data from 1960 to 1988 for West Germany, Italy, Japan and England. The goal was to check for the presence of deterministic chaos. To ensure that the data analysed was stationary they used a first difference then tried a linear fit. Using a reasonable AR specification for each time series their conclusion was that time series showed different structures. In particular the non linear structure was present in the time series of Japan. Nevertheless the application of metric tools for detecting chaos (correlation dimension and Lyapunov exponent) didn’t show presence of chaos in any time series. Starting from this conclusion we applied a topological tool Visual Recurrence Analysis to these time series to compare the results. The purpose is to verify if the analysis performed by a topological tool could give results different from ones obtained using a metric tool.
Item Type:  MPRA Paper 

Original Title:  Chaos detection in economics. Metric versus topological tools 
Language:  English 
Keywords:  economics time series, chaos, and topological tool 
Subjects:  E  Macroeconomics and Monetary Economics > E3  Prices, Business Fluctuations, and Cycles > E32  Business Fluctuations ; Cycles B  History of Economic Thought, Methodology, and Heterodox Approaches > B2  History of Economic Thought since 1925 > B22  Macroeconomics C  Mathematical and Quantitative Methods > C8  Data Collection and Data Estimation Methodology ; Computer Programs > C83  Survey Methods ; Sampling Methods 
Item ID:  30928 
Depositing User:  MARISA FAGGINI 
Date Deposited:  16. May 2011 12:37 
Last Modified:  30. Dec 2015 16:52 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/30928 