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| Author: | Whang, Y-J. Linton, O. |
| Title: | The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series |
| Journal: | Journal of Econometrics
1999 : JUL, VOL. 91:1, p. 1-42 |
| Index terms: | Econometrics Models |
| Language: | eng |
| Abstract: | This paper derives the asymptotic distribution of a smoothing-based estimator of the Lyapunov exponent for a stochastic time series under two general scenarios. In the first case, it is possible to establish root-T consistency and asymptotic normality, while in the second case - being more relevant for chaotic processes - it is only possible to establish asymptotic normality at a slower rate of convergence. In the paper, consistent confidence intervals for both cases are provided. The procedures are applied to simulated data. |
SCIMA