Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/211699 
Year of Publication: 
1994
Series/Report no.: 
Bank of Finland Discussion Papers No. 11/1994
Publisher: 
Bank of Finland, Helsinki
Abstract: 
This paper contains a set of tests for nonlinearities in economic time series.The tests correspond both to standard diagnostic tests and some new developments in testing nonlinearities.The latter test procedures make use of models in chaos theory, so-called long-memory models and some asymmetric adjustment models.Empirical tests are carried out with Finnish monthly data for ten macroeconomic time series covering the period 1920-1993.Test results support unambiguous the notion that there are strong nonlinearities in the data.The evidence for chaos, however, is weak.Nonlinearities are detected not only in a univariate setting but also in some preliminary investigations dealing with a multivariate case.Certain differences seem to exist between nominal and real variables in nonlinear behaviour.
Persistent Identifier of the first edition: 
ISBN: 
951-686-408-2
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.