CHAOTIC DYNAMICS IN ECONOMIC TIME‐SERIES

Murray Frank, Thanasis Stengos

Research output: Contribution to journalArticle

54 Scopus citations

Abstract

Abstract. There has recently been considerable interest in chaotic dynamics in a variety of disciplines. This paper introduces and then surveys some of the associated literature and techniques. Applications to economic theory are discussed but the primary focus is on empirical applicability. In addition to surveying the literature we also provide an example of the use of these techniques in economics. We conclude by highlighting the importance of the techniques for empirical work as well as considering their context in econometric methodology.

Original languageEnglish (US)
Pages (from-to)103-133
Number of pages31
JournalJournal of Economic Surveys
Volume2
Issue number2
DOIs
StatePublished - Jun 1988

Keywords

  • Chaos
  • correlation dimension
  • martingale hypothesis
  • nonlinear dynamics
  • nonparametric

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