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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 |
| Appears in Collections: | Artículos |
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