Testing for Hysteresis against Nonlinear Alternatives

Andrew Hughes Hallett, L Piscitelli

    Research output: Contribution to journalArticlepeer-review

    25 Citations (Scopus)


    A number of studies have hypothesised certain economic behaviour to be hysteretic, but few have actually been able to establish hysteretic behaviour in the data. This is because of the lack of an effective test for hysteresis. This paper compares and contrasts two new measures of hysteretic behaviour, designed explicitly for detecting hysteresis in economic systems. Using Monte Carlo techniques, we show that one has considerably more power than the other against nonlinear, cyclical or multiple equilibria alternatives in the presence of random disturbances. The key properties of this measure appear to be functional form independence and rate independence. (C) 2002 Elsevier Science B.V. All rights reserved.

    Original languageEnglish
    Pages (from-to)303-327
    Number of pages25
    JournalJournal of Economic Dynamics and Control
    Issue number2
    Publication statusPublished - Dec 2002


    • hysteretic behaviour
    • economic
    • equilibria alternatives
    • random disturbances


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