The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series

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The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series

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Whang, Yoon-Jae
Linton, Oliver

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 91 (1999)
Issue (Month): 1 (July)
Pages: 1-42
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Handle: RePEc:eee:econom:v:91:y:1999:i:1:p:1-42

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Paper
- Yoon-Jae Whang & Oliver Linton, 1997. "The Asymptotic Distribution of Nonparametric Estimates of the Lyapunov Exponent for Stochastic Time Series," Cowles Foundation Discussion Papers 1130R, Cowles Foundation, Yale University. [Downloadable!]

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Rodney Wolff & Qiwei Yao & Howell Tong, 2003. "Statistical Tests for Lyapunov Exponents of Deterministic Systems," School of Economics and Finance Discussion Papers and Working Papers Series 167, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
Joon Y. Park & Yoon-Jae Whang, 1999. "Random Walk or Chaos: A Formal Test on the Lyapunov Exponent," Working Paper Series no9, Institute of Economic Research, Seoul National University. [Downloadable!]
Oliver Linton & Mototsugu Shintani, 2002. "Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series /2002/434, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
Other versions:
- Mototsugu Shintani & Oliver Linton, 2003. "Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," Working Papers 0309, Department of Economics, Vanderbilt University. [Downloadable!]
- Oliver Linton & Mototsugu Shintani, 2003. "Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series /2003/455, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
- Shintani, Mototsugu & Linton, Oliver, 2004. "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," Journal of Econometrics, Elsevier, vol. 120(1), pages 1-33, May. [Downloadable!] (restricted)
Simón Sosvilla-Rivero & Fernando Fernández-Rodriguez & Julián Andrada-Félix, 2005. "Testing chaotic dynamics via Lyapunov exponents," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 911-930. [Downloadable!]
Other versions:
- Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, . "Testing Chaotic Dynamics via Lyapunov Exponents," Working Papers 2000-07, FEDEA. [Downloadable!]
Rodney C Wolff & Qiwei Yao & Howell Tong, 2006. "Statistical tests for Lyapunov exponents of deterministic systems," Rodney Wolff Papers 2006-8, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
Mototsugu Shintani & Oliver Linton, 2000. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," Working Papers 0111, Department of Economics, Vanderbilt University, revised Jun 2001. [Downloadable!]
Other versions:
- Oliver Linton & Mototsugu Shintani, 2001. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," FMG Discussion Papers dp383, Financial Markets Group. [Downloadable!] (restricted)
- Mototsugu Shintani & Oliver Linton, 2003. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(1), pages 331-357, February. [Downloadable!] (restricted)

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