Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors
Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors
复制标题
世界经济是否出现混乱？
DOI：
10.2139/ssrn.273731
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发表时间：
2001
期刊：
影响因子：
--
通讯作者：
O. Linton
中科院分区：
文献类型：
--
作者：
M. Shintani;O. Linton
正的李亚普诺夫指数是混沌的一种实用定义。基于非参数Lyapunov指数估计的一致性标准误差，我们给出了噪声系统中混沌的一种形式检验。当我们的方法应用于国际实际产出序列时，正Lyapunov指数的假设在许多情况下都被显著地拒绝了。对这一结果的一种可能解释是，传统的外生模型比混沌的内生方法更能解释商业周期的波动。然而，我们的结果受到许多警告的影响，特别是我们的结果可能受到小样本偏差、高噪声水平、不正确的过滤和数据的长期记忆的影响。
A positive Lyapunov exponent is one practical definition of chaos. We develop a formal test for chaos in a noisy system based on the consistent standard errors of the nonparametric Lyapunov exponent estimators. When our procedures are applied to international real output series, the hypothesis of the positive Lyapunov exponent is significantly rejected in many cases. One possible interpretation of this result is that the traditional exogenous models are better able to explain business cycle fluctuations than is the chaotic endogenous approach. However, our results are subject to a number of caveats, in particular our results could have been influenced by small sample bias, high noise level, incorrect filtering, and long memory of the data.