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Detecting macroeconomic chaos
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| Innovation in Mathematics: Proceedings of the Second International Mathematica Symposium |
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As an alternative to the metric approach, two graphical tests (close returns and histogram) are implemented in Mathematica for detecting and visualizing chaotic behavior in macroeconomic time series. We show its ability to distinguish chaos over different simulated dynamic systems including a multisector kaldorian economic model. Finally, using them against some monetary aggregates we found no evidence of chaos in the Divisia M2 series, in contrast with the results obtained in several previous works.
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