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 is based on the Nadaraya-Watson kernel estimate of the Lyapunov exponent. We show that the estimator is consistent: The estimated Lyapunov exponent converges to zero under the...