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Nonlinear Economic Time Series as a Testbed for Dynamic Macro Models Including Finance

2019
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Release : 2019
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Book Synopsis Nonlinear Economic Time Series as a Testbed for Dynamic Macro Models Including Finance by : Michael Wood

Download or read book Nonlinear Economic Time Series as a Testbed for Dynamic Macro Models Including Finance written by Michael Wood. This book was released on 2019. Available in PDF, EPUB and Kindle. Book excerpt: This is consequent upon an earlier paper of mine (Non linear economic time series as a test bed for dynamic macro models) which was an exercise in using nonlinear time series analysis (NLTS) to assess the fit of a dynamic nonlinear macro economic process, the Goodwin model, against “realworld” nonlinear time series.This paper extends that approach to address models which include Finance and Debt as variables. Notably the work of Professor S Keen, This, Finance and Debt, is something notably missing from Goodwin's models.

Non Linear Economic Time Series as a Testbed for Dynamic Macro Models

2019
Download Non Linear Economic Time Series as a Testbed for Dynamic Macro Models PDF Online Free

Author :
Release : 2019
Genre :
Kind : eBook
Book Rating : /5 ( reviews)

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Book Synopsis Non Linear Economic Time Series as a Testbed for Dynamic Macro Models by : Michael Wood

Download or read book Non Linear Economic Time Series as a Testbed for Dynamic Macro Models written by Michael Wood. This book was released on 2019. Available in PDF, EPUB and Kindle. Book excerpt: This is a short exercise in using nonlinear time series analysis (NLTS) to assess the fit of a dynamic nonlinear macro economic process, the Goodwin model, against “realworld” nonlinear time series.The methodology follows the approach developed by Huffaker (2015 and variously) 1 After simulating the Goodwin model and generating plausible time series and an attractor a topologically equivalent attractor is extracted from a single dimension (unemployment) from the Goodwin model.Real US unemployment data is then subjected to SSA analysis to extract a signal from any background “noise” and this signal is then subject to time delay embedding. The attractor resulting from the SSA/Takens process to US unemployment data is topologically equivalent to the attractor from the Goodwin / Predator Prey phase portrait. This primae facie, suggests that the (assumed “black box”) nonlinear economic process which generated these statistics could well have had Goodwin characteristics. The solution is both a limit cycle but also the amplitude (ratio of profitability and unemployment) suddenly increases. This probably reflects that the time series covers the “great moderation” and the subsequent 07/08 crash. This is also a characteristic of more complex nonlinear models like Keen (1997) and suggests that a similar exercise with Keens model and private debt statistics would be interesting.

Nonlinear Time Series Analysis of Economic and Financial Data

1999-01-31 Business & Economics
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Release : 1999-01-31
Genre : Business & Economics
Kind : eBook
Book Rating : 796/5 ( reviews)

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Book Synopsis Nonlinear Time Series Analysis of Economic and Financial Data by : Philip Rothman

Download or read book Nonlinear Time Series Analysis of Economic and Financial Data written by Philip Rothman. This book was released on 1999-01-31. Available in PDF, EPUB and Kindle. Book excerpt: Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.

Modelling Nonlinear Economic Time Series

2010-12-16 Business & Economics
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Release : 2010-12-16
Genre : Business & Economics
Kind : eBook
Book Rating : 148/5 ( reviews)

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Book Synopsis Modelling Nonlinear Economic Time Series by : Timo Teräsvirta

Download or read book Modelling Nonlinear Economic Time Series written by Timo Teräsvirta. This book was released on 2010-12-16. Available in PDF, EPUB and Kindle. Book excerpt: This book contains an extensive up-to-date overview of nonlinear time series models and their application to modelling economic relationships. It considers nonlinear models in stationary and nonstationary frameworks, and both parametric and nonparametric models are discussed. The book contains examples of nonlinear models in economic theory and presents the most common nonlinear time series models. Importantly, it shows the reader how to apply these models in practice. For thispurpose, the building of various nonlinear models with its three stages of model building: specification, estimation and evaluation, is discussed in detail and is illustrated by several examples involving both economic and non-economic data. Since estimation of nonlinear time series models is carried outusing numerical algorithms, the book contains a chapter on estimating parametric nonlinear models and another on estimating nonparametric ones.Forecasting is a major reason for building time series models, linear or nonlinear. The book contains a discussion on forecasting with nonlinear models, both parametric and nonparametric, and considers numerical techniques necessary for computing multi-period forecasts from them. The main focus of the book is on models of the conditional mean, but models of the conditional variance, mainly those of autoregressive conditional heteroskedasticity, receive attention as well. A separate chapter isdevoted to state space models. As a whole, the book is an indispensable tool for researchers interested in nonlinear time series and is also suitable for teaching courses in econometrics and time series analysis.

A Nonlinear Time Series Workshop

2012-12-06 Business & Economics
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Release : 2012-12-06
Genre : Business & Economics
Kind : eBook
Book Rating : 88X/5 ( reviews)

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Book Synopsis A Nonlinear Time Series Workshop by : Douglas M. Patterson

Download or read book A Nonlinear Time Series Workshop written by Douglas M. Patterson. This book was released on 2012-12-06. Available in PDF, EPUB and Kindle. Book excerpt: The complex dynamic behavior exhibited by many nonlinear systems - chaos, episodic volatility bursts, stochastic regimes switching - has attracted a good deal of attention in recent years. A Nonlinear Time Series Workshop provides the reader with both the statistical background and the software tools necessary for detecting nonlinear behavior in time series data. The most useful existing detection techniques are described, including Engle's LaGrange Multiplier test for conditional hetero-skedasticity and tests based on the correlation dimension and on the estimated bispectrum. These techniques are illustrated using actual data from fields such as economics, finance, engineering, and geophysics.

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