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Measuring the Economic Impact of Monetary Union:The Case of Okinawa
(Vanderbilt University, 2003)
Data from Okinawa's monetary union with the United States in 1958 and with Japan in 1972 are used to obtain a quantitative indication of how monetary union might affect the behavior of nominal and real shocks across two ...
Nonlinear Forecasting Analysis Using Diffusion Indexes: An Application to Japan
(Vanderbilt University, 2003)
This paper extends the diffusion index (DI) forecast approach of Stock and Watson (1998, 2002) to the case of possibly nonlinear dynamic factor models. When the number of series is large, a two-step procedure based on the ...
Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos
(Vanderbilt University, 2003)
This paper derives the asymptotic distribution of the nonparametric neural network estimator of the Lyapunov exponent in a noisy system. Positivity of the Lyapunov exponent is an operational definition of chaos. We introduce ...