Nonlinear Econometric Modelling: A Complex Systems Perspective

越来越多的人认识到，经济系统既复杂又适应性强。然而，这在使用时间序列数据构建、估计和测试经济模型方面引入了一系列问题。在这个项目中，将通过制定和实施新的方法和相关技术来解决这一问题。这些技术将允许研究人员使用从一组非线性测试中获得的信息来确定哪种类型的非线性模型提供了数据生成机制的最佳表示。研究中将使用选定的高频金融和宏观经济数据(针对美国和澳大利亚)。这项研究旨在改变计量经济学建模的方向和重点，并有望对预测和政策评估方法产生根本性影响。

It is becoming increasingly accepted that economic systems are both complex and adaptive. However, this introduces a range of problems in constructing, estimating and testing economic models using time series data. In this project, this problem will be addressed through the formulation and implementation of a new methodology and associated techniques. These techniques will allow a researcher to use information obtained from a set of nonlinearity tests to determine which type of nonlinear model provides the best representation of a data generating mechanism. Selected high frequency financial and macroeconomic data (for the US and Australia) will be used in the study. This research is intended to change the direction and emphasis of econometric modelling and promises to have a fundamental impact on forecasting and policy evaluation methods.