کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096391 1376525 2012 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Random walk or chaos: A formal test on the Lyapunov exponent
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Random walk or chaos: A formal test on the Lyapunov exponent
چکیده انگلیسی
A formal test on the Lyapunov exponent is developed to distinguish a random walk model from a chaotic system, which is based on the Nadaraya-Watson kernel estimator of the Lyapunov exponent. The asymptotic null distribution of our test statistic is free of nuisance parameter, and simply given by the range of standard Brownian motion on the unit interval. The test is consistent against the chaotic alternatives. A simulation study shows that the test performs reasonably well in finite samples. We apply our test to some of the standard macro and financial time series, finding no significant empirical evidence of chaos.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 169, Issue 1, July 2012, Pages 61-74
نویسندگان
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