文档介绍：RANDOM WALKS AND NON-LINEAR PATHS IN
MACROECONOMIC TIME SERIES:
Some Evidence and Implications
Franco BEVILACQUA0, Adriaan van ZON0*
Maastricht, April 2001
Abstract
This paper investigates whether the inherent non-stationarity of macroeco-
nomic time series is entirely due to a random walk or also to non--
ponents. Applying the numerical tools of the analysis of dynamical systems
to long time series for the US, we reject the hypothesis that these series are
generated solely by a linear stochastic process. Contrary to the Real Business
Cycle theory that attributes the irregular behavior of the system to exogenous
random factors, we maintain that the ‡uctuations in the time series we exam-
ined cannot be explained only by means of external shocks plugged into linear
autoregressive models. A dynamical and non-linear explanation may be useful
for the double aim of describing and forecasting more accurately the evolution
of the system.
Linear macroeconomic models that …nd empirical veri…cation on linear econo-
metric analysis, are therefore seriously called in question. On the contrary non-
linear dynamical models may enable us to educe plete information
about economic phenomena from the same data sets used in the empirical anal-
ysis from the Real Business Cycle Theory.
We conclude that Real Business Cycle theory and more in general the unit
root autoregressive models are an inadequate device for a satisfactory under-
standing of economic time series. A theoretical approach grounded on non-linear
metric methods, may however allow to identify non-linear structures that en-
dogenously generate ‡uctuations in macroeconomic time series.
JEL Classi…cations: C22, E32.
Keywords: Random Walks, Real Business Cycle Theory, Chaos.
1 Introduction
The aim of this paper is to identify the nature of the dynamics of macroeconomic
time series. When time series are characterized by zero autocorrelation for all
0 MERIT, Maastricht University, PO