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Is US Real GNP Chaotic? On Using the BDS test to Decide Whether an ARMA Model forthe US GNP Genreates I.I.D. Residuals

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Author Info
Domenico Mignacca (Universita di Ancona)
Mauro Gallegati (Universita D'Annunzio)

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Abstract

In this paper we use the BDS test developed by Brock-Dechert-Scheinkman (1987) to investigate whether ARMA Models for the US real GNP generate i.i.d. residuals. The second step,after reviewing some results from Brock-Sayer (1988) and Scheinkman-LeBaron (1989), SL, we will use a different kind of specifications for the US real GNP such as a model with different volatility pre and post World War II as in SL (1989), and a threshold autoregressive specification as in Potter (1990). The last point consists of analysing a modified threshold model that takes into account the observation made by SL (1989) and next we evaluate the forecast performance of the "best" models among those examined.

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Paper provided by EconWPA in its series International Finance with number 9410002.

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Date of creation: 20 Oct 1994
Date of revision: 09 Nov 1994
Handle: RePEc:wpa:wuwpif:9410002

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Find related papers by JEL classification:
F3 - International Economics - - International Finance
F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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  1. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May. [Downloadable!] (restricted)
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  2. Liu, T & Granger, C W J & Heller, W P, 1992. "Using the Correlation Exponent to Decide whether an Economic Series is Chaotic," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S25-39, Suppl. De. [Downloadable!] (restricted)
  3. repec:att:wimass:199520 is not listed on IDEAS
  4. 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)
  5. Baumol, William J & Benhabib, Jess, 1989. "Chaos: Significance, Mechanism, and Economic Applications," Journal of Economic Perspectives, American Economic Association, vol. 3(1), pages 77-105, Winter. [Downloadable!] (restricted)
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  6. Kenneth D. West, 1994. "Asymptotic Inference About Predictive Ability," Macroeconomics 9410002, EconWPA. [Downloadable!]
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  7. Kenneth D. West & Dongchul Cho, 1994. "The Predictive Ability of Several Models of Exchange Rate Volatility," NBER Technical Working Papers 0152, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  8. Brock, W.A. & Dechert, W.D., 1988. "Theorems On Distinguishing Deterministic Form Random Systems," Working papers 366, Wisconsin Madison - Social Systems.
  9. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-64, December. [Downloadable!] (restricted)
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  10. Newey, Whitney K & West, Kenneth D, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, Blackwell Publishing, vol. 61(4), pages 631-53, October. [Downloadable!] (restricted)
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  11. repec:att:wimass:199417 is not listed on IDEAS
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