Chaos and nonlinear dynamics : evidence from Finland

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Title: Chaos and nonlinear dynamics : evidence from Finland
Author: Takala, Kari ; Virén, Matti
Organization: Suomen Pankki
Department / Unit: Suomen Pankin tutkimusosasto
Series: Suomen Pankin keskustelualoitteita
Series number: 11/1994
Year of publication: 1994
Publication date: 24.5.1994
Pages: 50 s.
Keywords: Suomi; aikasarjat; epälineaarisuus
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.

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