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1867439392729071616
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| author |
Conraria, Luís Aguiar
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| author_facet |
Conraria, Luís Aguiar
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author
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RepositóriUM - Universidade do Minho
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PT
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[{\"Person.name\":\"Conraria, Luís Aguiar\"}]
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| datacite.contributors.contributor.contributorName.fl_str_mv |
RepositóriUM - Universidade do Minho
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| datacite.creators.creator.creatorName.fl_str_mv |
Conraria, Luís Aguiar
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| datacite.date.Accepted.fl_str_mv |
2001-01-01T00:00:00Z
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| datacite.date.available.fl_str_mv |
2005-05-03T09:02:39Z
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| datacite.date.embargoed.fl_str_mv |
2005-05-03T09:02:39Z
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| datacite.rights.fl_str_mv |
http://purl.org/coar/access_right/c_abf2
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| datacite.titles.title.fl_str_mv |
The adequacy of the traditional econometric approach to nonlinear cycles
|
| dc.contributor.none.fl_str_mv |
RepositóriUM - Universidade do Minho
|
| dc.creator.none.fl_str_mv |
Conraria, Luís Aguiar
|
| dc.date.Accepted.fl_str_mv |
2001-01-01T00:00:00Z
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| dc.date.available.fl_str_mv |
2005-05-03T09:02:39Z
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| dc.date.embargoed.fl_str_mv |
2005-05-03T09:02:39Z
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application/pdf
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https://hdl.handle.net/1822/1376
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| dc.language.none.fl_str_mv |
eng
|
| dc.publisher.none.fl_str_mv |
Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
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| dc.rights.none.fl_str_mv |
http://purl.org/coar/access_right/c_abf2
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| dc.title.fl_str_mv |
The adequacy of the traditional econometric approach to nonlinear cycles
|
| dc.type.none.fl_str_mv |
http://purl.org/coar/resource_type/c_8042
|
| description |
To show that the traditional econometric approach is not able to deal with deterministic chaos, we use an extension of Goodwin.s growth cycle model to generate arti.cial data for output. An EGARCH model is estimated to describe the data generation process. Although using some traditional econometric tests no evidence of misspeci.- cation is found the estimated process is qualitatively wrong: it is dynamically stable when the true process is unstable. We present a speci.c econometric procedure de- veloped to deal with deterministic chaos: the BDS statistics. Also an explanation for the little evidence of deterministic chaos in aggregated macroeconomic time series is suggested.
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0
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openAccess
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workingPaper
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https://repositorium.uminho.pt/bitstreams/98e9bb76-674a-4645-9664-9eb5a97063b1/download
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rum_3a6bb97efcd187f5e44b0fbcbd47c1f9
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https://hdl.handle.net/1822/1376
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repositorium
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Universidade do Minho
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Universidade do Minho
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eng
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rum
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RepositóriUM - Universidade do Minho
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oai:repositorium.uminho.pt:1822/1376
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urn:organizationAcronym:repositorium
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Conraria, Luís Aguiar
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2001
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Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
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RepositóriUM - Universidade do Minho
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urn:repositoryAcronym:rum
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urn:repositoryAcronym:rum
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| spelling |
engUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)engTo show that the traditional econometric approach is not able to deal with deterministic chaos, we use an extension of Goodwin.s growth cycle model to generate arti.cial data for output. An EGARCH model is estimated to describe the data generation process. Although using some traditional econometric tests no evidence of misspeci.- cation is found the estimated process is qualitatively wrong: it is dynamically stable when the true process is unstable. We present a speci.c econometric procedure de- veloped to deal with deterministic chaos: the BDS statistics. Also an explanation for the little evidence of deterministic chaos in aggregated macroeconomic time series is suggested.application/pdfengThe adequacy of the traditional econometric approach to nonlinear cyclesConraria, Luís AguiarHostingInstitutionOrganizationalRepositóriUM - Universidade do Minhoe-mailmailto:repositorium@usdb.uminho.ptrepositorium@usdb.uminho.pt2005-05-03T09:02:39Z20012001-01-01T00:00:00ZHandlehttps://hdl.handle.net/1822/1376http://purl.org/coar/access_right/c_abf2open access580184 bytesother research producthttp://purl.org/coar/resource_type/c_8042working paperhttp://purl.org/coar/access_right/c_abf2application/pdffulltexthttps://repositorium.uminho.pt/bitstreams/98e9bb76-674a-4645-9664-9eb5a97063b1/download
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| spellingShingle |
The adequacy of the traditional econometric approach to nonlinear cycles
Conraria, Luís Aguiar
|
| status |
SINGLETON
|
| title |
The adequacy of the traditional econometric approach to nonlinear cycles
|
| title_full |
The adequacy of the traditional econometric approach to nonlinear cycles
|
| title_fullStr |
The adequacy of the traditional econometric approach to nonlinear cycles
|
| title_full_unstemmed |
The adequacy of the traditional econometric approach to nonlinear cycles
|
| title_short |
The adequacy of the traditional econometric approach to nonlinear cycles
|
| title_sort |
The adequacy of the traditional econometric approach to nonlinear cycles
|
| url |
https://hdl.handle.net/1822/1376
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1
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