This paper has been announced in the following NEP Reports:

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• NEP-ECM-2004-12-20 (Econometrics)

1. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August. [Downloadable!] (restricted)
2. Barnett, William A. & Gallant, A. Ronald & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1997. "A single-blind controlled competition among tests for nonlinearity and chaos," Journal of Econometrics, Elsevier, vol. 82(1), pages 157-192. [Downloadable!] (restricted)
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3. Xiaohong Chen & Xiaotong Shen, 1998. "Sieve Extremum Estimates for Weakly Dependent Data," Econometrica, Econometric Society, vol. 66(2), pages 289-314, March.
4. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May. [Downloadable!] (restricted)
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   • Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation, Yale University, revised Jul 1989. [Downloadable!]
5. Barnett, William A. & Ronald Gallant, A. & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1995. "Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size," Journal of Economic Behavior & Organization, Elsevier, vol. 27(2), pages 301-320, July. [Downloadable!] (restricted)
6. 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)
   Other versions:
   • 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!]
   • 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)
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   • Bask, Mikael & de Luna, Xavier, 2001. "Characterizing the degree of stability of non-linear dynamic models," UmeÃ¥ Economic Studies 564, Umeå University, Department of Economics.
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9. repec:bep:sndecm:1:1996:3:145-154 is not listed on IDEAS
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   • Ramazan Gencay & W. Davis Dechert, 1996. "The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 1(3). [Downloadable!]
10. Abhyankar, A & Copeland, L S & Wong, W, 1997. "Uncovering Nonlinear Structure in Real-Time Stock-Market Indexes: The S&P 500, the DAX, the Nikkei 225, and the FTSE-100," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 1-14, January.
11. Serletis, Apostolos, 1995. "Random Walks, Breaking Trend Functions, and the Chaotic Structure of the Velocity of Money," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(4), pages 453-58, October.
12. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June. [Downloadable!] (restricted)
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    • Zhuanxin Ding & Clive Granger & Robert Engle, 1992. "A Long Memory Property of Stock Market Returns and a New Model," University of California at San Diego, Economics Working Paper Series 92-21, Department of Economics, UC San Diego.
13. W. A. Broock & J. A. Scheinkman & W. D. Dechert & B. LeBaron, 1996. "A test for independence based on the correlation dimension," Econometric Reviews, Taylor and Francis Journals, vol. 15(3), pages 197-235. [Downloadable!] (restricted)
14. Chung-Ming Kuan & Halbert White, 1994. "Artificial neural networks: an econometric perspective," Econometric Reviews, Taylor and Francis Journals, vol. 13(1), pages 1-91. [Downloadable!] (restricted)
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    • Chung-Ming Kuan & Halbert White, 1992. "Artificial Neural Networks: An Econometric Perspective," University of California at San Diego, Economics Working Paper Series 92-11, Department of Economics, UC San Diego.
15. Whang, Yoon-Jae & Linton, Oliver, 1999. "The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series," Journal of Econometrics, Elsevier, vol. 91(1), pages 1-42, July. [Downloadable!] (restricted)
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    • 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:
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1. Elena Olmedo & Ricardo Gimeno & Lorenzo Escot & Ruth Mateos, 2007. "Convergencia y Estabilidad de los Tipos de Cambio Europeos: Una Aplicación de Exponentes de Lyapunov," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 44(129), pages 91-108. [Downloadable!]
2. 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!]
3. William Barnett, 2005. "Comment on 'Chaotic Monetary Dynamics with Confidence'," Macroeconomics 0505017, EconWPA. [Downloadable!]
   Other versions:
   • William Barnett, 2006. "Comment on 'Chaotic Monetary Dynamics with Confidence'," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200602, University of Kansas, Department of Economics. [Downloadable!]
   • Barnett, William A., 2006. "Comments on "Chaotic monetary dynamics with confidence"," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 253-255, March. [Downloadable!] (restricted)
4. Dominique Guégan & Justin Leroux, 2008. "Local Lyapunov exponents: Zero plays no role in Forecasting chaotic systems," Cahiers de recherche 08-10, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
5. Mikael Bask & Tung Liu & Anna Widerberg, 2006. "The Stability of Electricity Prices: Estimation and Inference of the Lyapunov Exponent," Working Papers 200603, Ball State University, Department of Economics, revised Apr 2006. [Downloadable!]
   Other versions:
   • Bask , Mikael & Liu , Tung & Widerberg , Anna, 2006. "The stability of electricity prices: estimation and inference of the Lyapunov exponents," Research Discussion Papers 9/2006, Bank of Finland. [Downloadable!]
6. Hommes, C.H. & Manzan, S., 2005. "Testing for Nonlinear Structure and Chaos in Economic Time Series: A Comment," CeNDEF Working Papers 05-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
7. 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!]
8. Cars Hommes & Sebastiano Manzan, 2006. "Testing for Nonlinear Structure and Chaos in Economic Time. A Comment," Tinbergen Institute Discussion Papers 06-030/1, Tinbergen Institute. [Downloadable!]
9. Vitaliy Vandrovych, 2005. "Study of Nonlinearities in the Dynamics of Exchange Rates: Is There Any Evidence of Chaos?," Computing in Economics and Finance 2005 234, Society for Computational Economics. [Downloadable!]
10. 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)