Park, Joon Y.; Whang, Yoon-Jae - Institute for Economic Research, Division of Economics - 1999
A formal test on the Lyapunov exponent is developed to distinguish a random walk model from a chaotic system. The test … estimated Lyapunov exponent converges to zero under the random walk hypothesis, while it converges to a positive constant for … estimator, and make it possible to formally test for the null hypothesis of random walk against chaos. The proposed test …