Sosvilla-Rivero, Simón; Fernández-Rodriguez, Fernando; … - In: Journal of Applied Econometrics 20 (2005) 7, pp. 911-930
We propose a new test to detect chaotic dynamics, based on the stability of the largest Lyapunov exponent from different sample sizes. This test is applied to the data used in the single-blind controlled competition tests for non-linearity and chaos that were generated by Barnett et al. (1997),...