Random walks and non-linear paths in macroeconomic time series : some evidence and implications

This paper investigates whether the inherent non-stationarity of macroeconomic time series is entirely due to a random walk or also to non-linear components. Applying the numerical tools of the analysis of dynamical systems to long time series for the US, we reject the hypothesis that these series are generated solely by a linear stochastic process....

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Year of publication:	2001-11-01
Authors:	Bevilacqua, Franco ; Zon, Adriaan van
Institutions:	Institut für Volkswirtschaftstheorie und -politik <Wien>
Subject:	Wirtschaftskreislauf \| business cycle \| Chaos \| Chaostheorie \| Kreislauftheorie \| Real Business Cycle Theory

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Extent:	2056192 bytes 37 p. application/pdf
Series:	Wirtschaftsuniversität Wien - Elektronische Publikationen Working Paper Series Growth and Employment in Europe: Sustainability and Competitiveness ; 2001, 22
Type of publication:	Book / Working Paper
Language:	English
Classification:	C22 - Time-Series Models ; E32 - Business Fluctuations; Cycles ; Business administration. Other aspects ; Macroeconomics. General Resources ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005841587