Nonlinearity in Economics and Finance
{'Code': '04050100', 'Directorate': {'Abbreviation': 'SBE', 'LongName': 'Direct For Social, Behav & Economic Scie'}, 'Division': {'Abbreviation': 'SES', 'LongName': 'Divn Of Social and Economic Sciences'}}
{'SignBlockName': 'Daniel H. Newlon', 'PO_EMAI': None, 'PO_PHON': None}
The objective of this project is to integrate methods of chaos                  theory and nonlinear dynamics now used in the natural and                       physical sciences with econometrics.  The project does this in a                way that develops useful new tools for macroeconomics and                       finance.  The strategy for building tools is to stay close to the               realities of actual data, actual econometric practice, and the                  applications-- giving up abstract generality in the process.                                                                                                    The specific projects consist of the following: (1) turn the                    residual diagnostic for deterministic chaos into a "residual                    test" for deterministic chaos.  (2)  Work out statistical                       distribution theory for dimension, Kolmogorov entropy, and                      Lyapunov exponents.  Compare and contrast the size and power                    characteristics of a test developed by Brock of the null                        hypothesis of independence with other tests such as                             characteristic function tests, distribution function tests, and                 Cramer/ Von Mises forms of the tests.  (4)  Build a general test                for nonlinearity and compare its size and power characteristics                 to other nonlinearity tests such as the bispectral skewness test,               tests for bilinearity, tests for ARCH and GARCH, and semi-                      nonparametric tests for nonlinearity.  (5)  Apply these tests to                data in macroeconomics and finance.  (6)  Build macro economic                  models and equilibrium asset pricing models that explain the                    pattern of nonlinearity found.
{'FirstName': 'William', 'LastName': 'Brock', 'PI_MID_INIT': 'A', 'PI_SUFX_NAME': None, 'PI_FULL_NAME': 'William A Brock', 'EmailAddress': 'wbrock@ssc.wisc.edu', 'NSF_ID': '000393963', 'StartDate': '06/01/1988', 'EndDate': None, 'RoleCode': 'Principal Investigator'}
{'Name': 'University of Wisconsin-Madison', 'CityName': 'MADISON', 'ZipCode': '537151218', 'PhoneNumber': '6082623822', 'StreetAddress': '21 North Park Street', 'StreetAddress2': 'Suite 6301', 'CountryName': 'United States', 'StateName': 'Wisconsin', 'StateCode': 'WI', 'CONGRESSDISTRICT': '02', 'CONGRESS_DISTRICT_ORG': 'WI02', 'ORG_DUNS_NUM': '161202122', 'ORG_LGL_BUS_NAME': 'UNIVERSITY OF WISCONSIN SYSTEM', 'ORG_PRNT_DUNS_NUM': '041188822'}
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{'Code': '1320', 'Text': 'Economics'}
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