I have a pretty long time series (4000 data points).
Please also advise on how to import the data as well.
Appendix 1 of Mario Martelli's Introduction to Discrete Dynamical Systems and Chaos contains sample Mathematica code (pages 290-296) which should help you http://dx.doi.org/10.1002/9781118032879.app1 (free, click 'Get PDF')
Also, the Wolfram Library Archive contains sample code in Testing Chaos and Fractal Properties in Economic Time Series computes these quantities for 1,000 data points. http://library.wolfram.com/infocenter/Conferences/6162/