This 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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Paper provided by EconWPA in its series Econometrics with number
0301004.
Length: 16 pages Date of creation: 29 Jan 2003 Date of revision: Handle: RePEc:wpa:wuwpem:0301004
Note: Type of Document - Pdf; prepared on PC; to print on HP LaserJet; pages: 16 ; figures: included Contact details of provider: Web page: http://129.3.20.41
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