Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/48008
Title: Testing chaotic dynamics via Lyapunov exponents
Authors: Fernández Rodríguez, Fernando 
Sosvilla Rivero,Simón Javier 
Andrada Félix, Julián 
UNESCO Clasification: 5302 Econometría
Keywords: Teoría del caos
Análisis de series temporales
Issue Date: 2005
Publisher: 0883-7252
Journal: Journal of Applied Econometrics 
Abstract: This paper presents a bootstrap-based test statistic for testing the presence of chaotic dynamics from data by using the Lyapunov exponents. In particular, a one-sided test statistic in Gençay's [Gençay, Physica D 89 (1996) 261-266] framework is designed and its small sample properties are tested on the Hénon map. The numerical examples show that the test statistic has desirable small sample properties.
URI: http://hdl.handle.net/10553/48008
ISSN: 0883-7252
DOI: 10.1002/jae.805
Source: Journal of Applied Econometrics[ISSN 0883-7252],v. 20, p. 911-930
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