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Is There Chaos in the World Economy?A Nonparametric Test Using Consistent Standard Errors
(Vanderbilt University, 2001)
A positive Lyapunov exponent is one practical definition of chaos. We develop a formal test for chaos in a noisy system based on the consistent standard errors of the nonparametric Lyapunov exponent estimators. When our ...
Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos
(Vanderbilt University, 2003)
This paper derives the asymptotic distribution of the nonparametric neural network estimator of the Lyapunov exponent in a noisy system. Positivity of the Lyapunov exponent is an operational definition of chaos. We introduce ...