A Fast Algorithm for the BDS Statistic

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A Fast Algorithm for the BDS Statistic

Author Info

Blake LeBaron (University of Wisconsin, Madison)

Abstract

The BDS statistic has proved to be one of several useful nonlinear diagnostics. It has been shown to have good power against many nonlinear alternatives, and its asymptotic properties as a residual diagnostic are well understood. Furthermore, extensive Monte Carlo results have proved it useful in relatively small samples. However, the BDS test is not trivial to calculate, and is even more difficult to deal with if one wants the speed necessary to make bootstrap resampling feasible. This short paper presents a fast algorithm for the BDS statistic, and outlines how these speed improvements are achieved. Source code in the C programming language is included.

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Article provided by Berkeley Electronic Press in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 2 (1997)
Issue (Month): 2 ()
Pages: 53-59
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Handle: RePEc:bep:sndecm:2:1997:2:53-59

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Barnett, William A. & Gallant, A. Ronald & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1997. "A single-blind controlled competition among tests for nonlinearity and chaos," Journal of Econometrics, Elsevier, vol. 82(1), pages 157-192. [Downloadable!] (restricted)
Other versions:
- William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen, 1996. "A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos," Econometrics 9602005, EconWPA, revised 20 Sep 1996. [Downloadable!]
Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," Journal of Business, University of Chicago Press, vol. 62(3), pages 311-37, July. [Downloadable!] (restricted)

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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Jorge Belaire-Franch & Amado Peiro, 2003. "Conditional and Unconditional Asymmetry in U.S. Macroeconomic Time Series," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 7(1), pages 1108-1108. [Downloadable!] (restricted)

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