misspecification of the conditional mean may lead to spurious rejections of the null hypothesis of no ARCH. Nonlinearity is a prime … example of this phenomenon. There is little work on the extent of the effect of neglected nonlinearity on the properties of … neglected nonlinearity. Monte Carlo evidence shows that the problem is serious and that the new methods alleviate this problem …

specifications for the dynamic model underlying them. It is clear that in the presence of nonlinearity standard tests of structural …

This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine … 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. …

This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine … 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. …

This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine … 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. …

This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine … 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. …

we provide a review of the literature with respect to fluctuations in real systems and chaos. In doing so, we contrast … distinguishing between stochastic and deterministic behavior. Moreover, we look at the issue of where and when the ideas of chaos …

Although nonlinearity is the rule in economic theory, nonlinearity tends to make life difficult for econometricians …. While there have been many advances in nonlinear econometrics in recent years, some problems produced by nonlinearity remain …

we provide a review of the literature with respect to fluctuations in real systems and chaos. In doing so, we contrast … distinguishing between stochastic and deterministic behavior. Moreover, we look at the issue of where and when the ideas of chaos …