An Alternative to the BDS Test: Integration Across The Correlation Integral
AbstractThis paper extends and generalizes the BDS test presented by Brock, Dechert, Scheinkman, and LeBaron (1996). In doing so it aims to remove the limitation of having to arbitrarily select a proximity parameter by integrating across the correlation integral. The Monte Carlo simulation is used to tabulate critical values of the alternative statistic. Previously published empirical studies are replicated as well as power tests executed in order to evaluate the relative performance of the suggested alternative to the BDS test. The results are favorable for the suggested alternative.
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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0301004.
Length: 16 pages
Date of creation: 29 Jan 2003
Date of revision:
Note: Type of Document - Pdf; prepared on PC; to print on HP LaserJet; pages: 16 ; figures: included
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chaos; nonlinear dynamics; correlation integral; Monte Carlo; exchange rates;
Other versions of this item:
- Evzen Kocenda, 2001. "An Alternative To The Bds Test: Integration Across The Correlation Integral," Econometric Reviews, Taylor and Francis Journals, vol. 20(3), pages 337-351.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-02-03 (All new papers)
- NEP-ECM-2003-02-10 (Econometrics)
- NEP-ETS-2003-02-03 (Econometric Time Series)
- NEP-IFN-2003-02-03 (International Finance)
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.:
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- repec:att:wimass:9520 is not listed on IDEAS
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