7:49 p.m.
Hello all,
Is there any function in Gretl to estimate the Lyapunov exponent and it's
confidence intervals?
Many thanks,
PG
*Periklis Gogas
<http://www.econ.duth.gr/personel/dep/gkogkas/index.en.shtml>*
Professor
Economic Analysis and International Economics
Department of Economics
Democritus University of Thrace
Euro Area Business Cycle Network - Fellow
<http://www.eabcn.org/person/periklis-gogas>
The Rimini Centre for Economic Analysis - Fellow
<http://www.rcfea.org/component/option,com_frontpage/Itemid,1/>
The Society for Economic Measurement - Member
<http://sem.society.cmu.edu/home.html>
Institute for Nonlinear Dynamical Inference (INDI) - Charter Fellow
<http://icemr.ru/institute-for-nonlinear-dynamical-inference/>
9:52 p.m.
Am 02.12.2021 um 20:49 schrieb Periklis Gogas:
Hello all,
Is there any function in Gretl to estimate the Lyapunov exponent and
it's confidence intervals?
Hi, unfortunately I think the answer remains the same since you asked
this question in 2018: no.
(In the meantime, however, gretl got the BDS test for unspecified kinds
of non-linearity in time-series, see the built-in bds command. This is
not specifically about chaos, however.)
cheers
sven
10:54 p.m.
On Thu, 2 Dec 2021, Sven Schreiber wrote:
Am 02.12.2021 um 20:49 schrieb Periklis Gogas:
> Hello all,
>
> Is there any function in Gretl to estimate the Lyapunov exponent and
> it's confidence intervals?
>
Hi, unfortunately I think the answer remains the same since you asked
this question in 2018: no.
If you had an algorithm for calculating it or a provably reliable
implementation in some language (matlab, python, R, FORTRAN, C, whatever)
it shouldn't be difficult to port it to hansl and create a function
package.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
11:15 p.m.
Am 02.12.2021 um 23:54 schrieb Riccardo (Jack) Lucchetti:
On Thu, 2 Dec 2021, Sven Schreiber wrote:
> Am 02.12.2021 um 20:49 schrieb Periklis Gogas:
>> Hello all,
>>
>> Is there any function in Gretl to estimate the Lyapunov exponent and
>> it's confidence intervals?
>>
>
> Hi, unfortunately I think the answer remains the same since you asked
> this question in 2018: no.
If you had an algorithm for calculating it or a provably reliable
implementation in some language (matlab, python, R, FORTRAN, C,
whatever) it shouldn't be difficult to port it to hansl and create a
function package.
Well, similar to what I linked to in 2018:
https://www.pks.mpg.de/tisean/Tisean_3.0.1/index.html
https://www.pks.mpg.de/tisean/Tisean_3.0.1/source_c/lyap_k.c
(I still don't know anything about this program.)
cheers
sven
7:50 a.m.
I will try to find the code I used a long time ago.
Thanks!
PG
*Periklis Gogas
<http://www.econ.duth.gr/personel/dep/gkogkas/index.en.shtml>*
Professor
Economic Analysis and International Economics
Department of Economics
Democritus University of Thrace
Euro Area Business Cycle Network - Fellow
<http://www.eabcn.org/person/periklis-gogas>
The Rimini Centre for Economic Analysis - Fellow
<http://www.rcfea.org/component/option,com_frontpage/Itemid,1/>
The Society for Economic Measurement - Member
<http://sem.society.cmu.edu/home.html>
Institute for Nonlinear Dynamical Inference (INDI) - Charter Fellow
<http://icemr.ru/institute-for-nonlinear-dynamical-inference/>
On Fri, Dec 3, 2021 at 12:54 AM Riccardo (Jack) Lucchetti <
p002264(a)staff.univpm.it> wrote:
On Thu, 2 Dec 2021, Sven Schreiber wrote:
> Am 02.12.2021 um 20:49 schrieb Periklis Gogas:
>> Hello all,
>>
>> Is there any function in Gretl to estimate the Lyapunov exponent and
>> it's confidence intervals?
>>
>
> Hi, unfortunately I think the answer remains the same since you asked
> this question in 2018: no.
If you had an algorithm for calculating it or a provably reliable
implementation in some language (matlab, python, R, FORTRAN, C, whatever)
it shouldn't be difficult to port it to hansl and create a function
package.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------_______________________________________________
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7:49 a.m.
Oh my god, I didn't even remember that I asked this again.
Yes, I am familiar with the BDS test. That is good to know!
Thank you
PG
*Periklis Gogas
<http://www.econ.duth.gr/personel/dep/gkogkas/index.en.shtml>*
Professor
Economic Analysis and International Economics
Department of Economics
Democritus University of Thrace
Euro Area Business Cycle Network - Fellow
<http://www.eabcn.org/person/periklis-gogas>
The Rimini Centre for Economic Analysis - Fellow
<http://www.rcfea.org/component/option,com_frontpage/Itemid,1/>
The Society for Economic Measurement - Member
<http://sem.society.cmu.edu/home.html>
Institute for Nonlinear Dynamical Inference (INDI) - Charter Fellow
<http://icemr.ru/institute-for-nonlinear-dynamical-inference/>
On Thu, Dec 2, 2021 at 11:52 PM Sven Schreiber <svetosch(a)gmx.net> wrote:
Am 02.12.2021 um 20:49 schrieb Periklis Gogas:
> Hello all,
>
> Is there any function in Gretl to estimate the Lyapunov exponent and
> it's confidence intervals?
>
Hi, unfortunately I think the answer remains the same since you asked
this question in 2018: no.
(In the meantime, however, gretl got the BDS test for unspecified kinds
of non-linearity in time-series, see the built-in bds command. This is
not specifically about chaos, however.)
cheers
sven
_______________________________________________
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7:56 p.m.
Am 03.12.2021 um 08:49 schrieb Periklis Gogas:
Oh my god, I didn't even remember that I asked this again.
Yes, I am familiar with the BDS test. That is good to know!
Apparently the BDS implementation in current gretl 2021d has a bug that
may prevent it from working. (Where it _is_ working, it should hopefully
be OK.) That problem is fixed now, but obviously will be available only
in the next version.
cheers
sven
8:34 p.m.
Didn't have the time to try it yet, but thanks for the information Sven!
I will test it in the next version.
Best,
On Fri, Dec 3, 2021, 21:56 Sven Schreiber <svetosch(a)gmx.net> wrote:
Am 03.12.2021 um 08:49 schrieb Periklis Gogas:
> Oh my god, I didn't even remember that I asked this again.
> Yes, I am familiar with the BDS test. That is good to know!
>
Apparently the BDS implementation in current gretl 2021d has a bug that
may prevent it from working. (Where it _is_ working, it should hopefully
be OK.) That problem is fixed now, but obviously will be available only
in the next version.
cheers
sven
_______________________________________________
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To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it
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1419
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7 comments
3 participants
participants (3)
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Periklis Gogas -
Riccardo (Jack) Lucchetti -
Sven Schreiber