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Testing Chaotic Dynamics Via Lyapunov Exponents

FEDEA Documento de Trabajo 2000-07

52 Pages Posted: 23 Jul 2001  

Fernando Fernández Rodríguez

University of Las Palmas de Gran Canaria - Faculty of Economic Science

Simon Sosvilla-Rivero

Complutense Institute for International Studies

Julián Andrada Félix

University of Las Palmas de Gran Canaria - Faculty of Economic Science

Date Written: February 2000

Abstract

In this paper, we propose a new test, based on the stability of the largest Lyapunov exponent from different sample sizes, to detect chaotic dynamics in time series. We apply this new test to the simulated data used in the single-blind controlled competition among tests for nonlinearity and chaos generated by Barnett et al. (1997), as well as to several chaotic series, both for small and large samples. The results suggest that the new test has a high power against different stochastic alternatives (both linear and nonlinear), and also performs well in small samples.

Keywords: Chaos, Nonlinear Dynamics, Lyapunov exponents, Bootstrapping

JEL Classification: C13, C14, C15, C22

Suggested Citation

Fernández Rodríguez, Fernando and Sosvilla-Rivero, Simon and Andrada Félix, Julián, Testing Chaotic Dynamics Via Lyapunov Exponents (February 2000). FEDEA Documento de Trabajo 2000-07. Available at SSRN: https://ssrn.com/abstract=275251 or http://dx.doi.org/10.2139/ssrn.275251

Fernando Fernández Rodríguez

University of Las Palmas de Gran Canaria - Faculty of Economic Science ( email )

Campus de Tafira
E-35017 Las Palmas
Spain
+34 928 45 18 02 (Phone)
+34 928 45 18 29 (Fax)

Simon Sosvilla-Rivero (Contact Author)

Complutense Institute for International Studies ( email )

Carretera de Humera s/n
Madrid, Madrid 28223
Spain
+34913932626 (Phone)

HOME PAGE: http://www.ucm.es/info/ecocuan/ssr/

Julián Andrada Félix

University of Las Palmas de Gran Canaria - Faculty of Economic Science ( email )

E-35017 Las Palmas
Spain
+34 928 45 59 89 (Phone)
+34 928 45 18 29 (Fax)

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