Linear Versus Nonlinear Macroeconomies: A Statistical Test
提出一种基于双谱的统计检验，用于区分宏观经济模型中的线性随机动态与非线性动态（包括随机和混沌模型），并应用于股票市场指数和工业生产指数，结果强烈拒绝线性随机生成机制。
A statistical test based on the estimated bispectrum is presented, which can distinguish between the linear stochastic dynamics widely used in macroeconomic models and alternative nonlinear dynamic mechanisms, including both nonlinear stochastic models and nonlinear deterministic (chaotic) models. The test is applied to an aggregate stock market index and to an aggregate industrial production index. In both cases, the test easily rejects the null hypothesis of a linear stochastic generating mechanism. This result strongly suggests that nonlinear dynamics (deterministic or stochastic) should be an important feature of any empirically plausible macroeconomic model. Copyright 1989 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.