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The BDS test and delay time

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Author Info
Mariano Matilla-García
Paloma Sanz
Francisco J. Vázquez
Abstract

One of the most popular tests for detecting non-linear structure is the BDS test. This test is based on the correlation integral, and some studies have proved the sensitivity of this concept in relation to the choice of one particular parameter: delay time. However, the BDS test considers fixed delay time equal to one. In this paper it is investigated whether a flexible choice of delay time might improve the capacity of the BDS test. It is shown that the BDS-G test (generalized BDS test, including delay time choice) can capture non-linearities that are undetected by the classical BDS test. Finally, the robustness of the BDS-G test in the presence of noise is analysed.

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Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 12 (2005)
Issue (Month): 2 (February)
Pages: 109-113
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Handle: RePEc:taf:apeclt:v:12:y:2005:i:2:p:109-113

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  1. 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)
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  2. repec:att:wimass:199520 is not listed on IDEAS
  3. Brock, William A. & Sayers, Chera L., 1988. "Is the business cycle characterized by deterministic chaos?," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 71-90, July. [Downloadable!] (restricted)
  4. 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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