Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096391 | Journal of Econometrics | 2012 | 14 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Joon Y. Park, Yoon-Jae Whang,