The Presence of Chaos in the GDP Growth Rate Time Series

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F14%3A39898345" target="_blank" >RIV/00216275:25410/14:39898345 - isvavai.cz</a>
Result on the web
<a href="http://www.cmsim.eu/papers_pdf/april_2014_papers/8_CMSIM-Journal_2014_Kriz_Knezackova_2_199-206.pdf" target="_blank" >http://www.cmsim.eu/papers_pdf/april_2014_papers/8_CMSIM-Journal_2014_Kriz_Knezackova_2_199-206.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
The Presence of Chaos in the GDP Growth Rate Time Series
Original language description
The goal of this paper is to find chaos in the Gross domestic product (GDP) growth rate of selected European countries. We chose only those European countries where data is available since 1980, because we needed the longest time series possible. These are the following states: Belgium, Finland, France, Norway, Spain, Switzerland and United Kingdom. At first we will estimate the time delay and the embedding dimension, which is needed for the largest Lyapunov exponent estimation. The largest Lyapunov exponent is one of the important indicators of chaos and is generally wellknown. Subsequently we will calculate the 0-1 test for chaos. Finally we will compute the Hurst exponent by using the Rescaled Range analysis. The Hurst exponent is a numerical estimate of the predictability of a time series. The results indicated that chaotic behaviors obviously exist in GDP growth rate.
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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Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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