Testing for nonlinear structure and chaos in economic time series : a comment

Cars Hommes; Sebastiano Manzan

This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine Kyrtsou and Apostolos Serletis. We summarize their main results and discuss some of their conclusions concerning the role of outliers and noisy chaos. In particular, we include some new simulations to investigate whether economic time series may be characterized by low dimensional noisy chaos.

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Year of publication:	2005 ; August 2005, Journal of Macroeconomics, forthcoming
Authors:	Hommes, Cars H. ; Manzan, Sebastiano
Publisher:	Rotterdam [u.a.] : Tinbergen Inst.
Subject:	nonlinearity \| chaos \| noise \| self-organized criticality \| Mackey-Glass-GARCH \| Chaostheorie \| Chaos theory \| Zeitreihenanalyse \| Time series analysis \| Nichtlineare Dynamik \| Nonlinear dynamics