Chaotic Analysis of the GDP Time Series

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F13%3A39896597" target="_blank" >RIV/00216275:25410/13:39896597 - isvavai.cz</a>
Result on the web
<a href="http://link.springer.com/chapter/10.1007%2F978-3-319-00542-3_36" target="_blank" >http://link.springer.com/chapter/10.1007%2F978-3-319-00542-3_36</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/978-3-319-00542-3_36" target="_blank" >10.1007/978-3-319-00542-3_36</a>

Result language
angličtina
Original language name
Chaotic Analysis of the GDP Time Series
Original language description
The goal of this paper is to analyze the Czech Gross domestic product (GDP) and to find chaos in the Czech GDP. At first we will estimate the time delay and the embedding dimension, which is needed for the Lyapunov exponent estimation and for the phase space reconstruction. Subsequently we will compute the largest Lyapunov exponent, which is one of the important indicators of chaos. Then we will calculate the 0-1 test for chaos. Finally we will compute the Hurst exponent by Rescaled Range analysis and by dispersional analysis. The Hurst exponent is a numerical estimate of the predictability of a time series. In the end we will display a phase portrait of detrended GDP time series. The results indicated that chaotic behaviors obviously exist in GDP.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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