An Alternative to the BDS Test: Integration Across the Correlation Integral

Kocenda, Evzen (1996): An Alternative to the BDS Test: Integration Across the Correlation Integral. Published in: Econometric Reviews , Vol. 20, No. 3 (2001): pp. 337-351.

Abstract

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: chaos, nonlinear dynamics, correlation integral, Monte Carlo, exchange rates
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection; F - International Economics > F3 - International Finance > F31 - Foreign Exchange

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