Publication detail

The Presence of Chaos in the GDP Growth Rate Time Series

Authors: Kříž Radko | Knězáčková Radka

Year: 2014

Type of publication: článek v odborném periodiku

Name of source: Chaotic Modeling and Simulation (CMSIM)

Publisher name: CMSIM

Place: Chania

Page from-to: 199-206

Titles:

Language	Name	Abstract	Keywords
cze	Chaos v časových řadách tempa růstu HDP	Cílem článku je hledání chaosu v růstu HDP vybraných evropských zemí. Vybrány jsou ty země, kde jsou dostupná data od roku 1980, z důvodu potředy delší časové řady. Jedná se o tyto státy: Belgie, Finsko, Francie, Norsko, Španělsko, Švýcarsko a Spojené království.
eng	The Presence of Chaos in the GDP Growth Rate Time Series	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.	Chaos theory; GDP; GDP growth rate; Time series analysis; Phase Space Reconstruction; Hurst exponent; largest Lyapunov exponent;

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