Economics at your fingertips  

Testing chaotic dynamics via Lyapunov exponents

Simon Sosvilla-Rivero, Fernando Fernández-Rodriguez and Julian Andrada-Felix ()
Additional contact information
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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21) Track citations by RSS feed

Downloads: (external link) Link to full text; subscription required (text/html) Supporting data files and programs (text/html)

Related works:
Working Paper: Testing Chaotic Dynamics via Lyapunov Exponents Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

DOI: 10.1002/jae.805

Access Statistics for this article

Journal of Applied Econometrics is currently edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().

Page updated 2023-08-06
Handle: RePEc:jae:japmet:v:20:y:2005:i:7:p:911-930