Fernando Fernández-Rodríguez, Simón Sosvilla-Rivero, and Julián
Andrada-Félix, "Testing Chaotic Dynamics via Lyapunov Exponents",
Journal of Applied Econometrics, Vol. 20, No. 7, 2005, pp. 911-930.

We have applied this new test to the simulated data used in the single-blind
controlled competition among tests for non-linearity and chaos generated by
Barnett et al. (1997), as well as several chaotic series, both for small and
large samples (380 and 2000 observations, respectively). 

First of all, our simulations are based on different stochastic processes
following Barnett et al. (1997). Additionally, and in order to provide
further, and stronger, evidence supporting our claim that the observed
invariance property of the largest Lyapunov exponent holds for all chaotic
processes, we also consider the chaotic Feigenbaum recursion, the Hénon map
and the Lorenz attractor. 

  garch.txt: GARCH is a stochastic process; 2000 observations.
  
  nlma.txt: NLMA is a stochastic process; 2000 observations.
  
  arch.txt: ARCH is a stochastic process; 2000 observations.
  
  arma.txt: ARMA is a stochastic process; 2000 observations.

  logistic.txt: Feigenbaum is a chaotic recursion in one-dimensional
                discrete-time system; 15,000 observations.

  henon.txt: Hénon is a chaotic map in two-dimensional discrete-time system;
                15,001 observations.
		
  lorenz.txt: Lorenz is chaotic attractor in three-dimensional 
              continuous-time system; 19,293 observations.

Finally, we have tested for deterministic chaos in three exchange rate
series return corresponding to the French Franc (dlffusa.txt), the
Canadian Dollar (dlcanusa.txt) and the German Mark (dldmusa.txt), all
against the USA Dollar. All the series go from 4th January 1971 to 31st
December 1998. However, there are 7020 observation for the Franc and Mark
and 8158 observations for the Canadian dollar.

All these files (which are in DOS format) are zipped in the file fsa-data.zip.

Please address any questions to:

Simon Sosvilla-Rivero
Foundation for Applied Economic Research (FEDEA)
Jorge Juan, 46. E-28001 Madrid. Spain
E-mail: simon.sosvilla <AT> fedea.es