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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

Author

Listed:
  • Domenico Mignacca

    (Universita di Ancona)

  • Mauro Gallegati

    (Universita D'Annunzio)

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.

Suggested Citation

  • Domenico Mignacca & Mauro Gallegati, 1994. "Is US Real GNP Chaotic? On Using the BDS test to Decide Whether an ARMA Model forthe US GNP Genreates I.I.D. Residuals," International Finance 9410002, University Library of Munich, Germany, revised 09 Nov 1994.
    • Handle: RePEc:wpa:wuwpif:9410002
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    References listed on IDEAS

    as
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    Cited by:

    1. Mauro Gallegati & Domenico Mignacca, 1995. "Nonlinearities in business cycle: SETAR models and G7 industrial production data," Applied Economics Letters, Taylor & Francis Journals, vol. 2(11), pages 422-427.

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    JEL classification:

    • F3 - International Economics - - International Finance
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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