Testing chaotic dynamics via Lyapunov exponents

Simon Sosvilla-Rivero, Fernando Fernández-Rodriguez and Julian Andrada-Felix ()
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Fernando Fernández-Rodriguez: Department of Quantitative Methods in Economics and Management, Universidad de Las Palmas de Gran Canaria, Spain, Postal: Department of Quantitative Methods in Economics and Management, Universidad de Las Palmas de Gran Canaria, Spain

Journal of Applied Econometrics, 2005, vol. 20, issue 7, 911-930

Abstract: We propose a new test to detect chaotic dynamics, based on the stability of the largest Lyapunov exponent from different sample sizes. This test is applied to the data used in the single-blind controlled competition tests for non-linearity and chaos that were generated by Barnett et al. (1997), as well as to several other chaotic series. The results suggest that the new test is particularly effective when compared to other stochastic alternatives (both linear and non-linear). For large sample sizes the power of the test is one, although for small sample sizes it diminishes occasionally. Copyright © 2005 John Wiley & Sons, Ltd.

Date: 2005
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Working Paper: Testing Chaotic Dynamics via Lyapunov Exponents
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DOI: 10.1002/jae.805

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