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A Fast Algorithm for the BDS Statistic
LeBaron, Blake - In: Studies in Nonlinear Dynamics & Econometrics 2 (1997) 2
The BDS statistic has proved to be one of several useful nonlinear diagnostics. It has been shown to have good power …, extensive Monte Carlo results have proved it useful in relatively small samples. However, the BDS test is not trivial to … short paper presents a fast algorithm for the BDS statistic, and outlines how these speed improvements are achieved. Source …
Persistent link: https://www.econbiz.de/10014620800
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A Generalized Fast Algorithm for BDS-Type Statistics
Mayer-Foulkes, David - In: Studies in Nonlinear Dynamics & Econometrics 4 (2000) 1
's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram …
Persistent link: https://www.econbiz.de/10014620826
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A Generalized Fast Algorithm for BDS-Type Statistics
Mayer-Foulkes, David - In: Studies in Nonlinear Dynamics & Econometrics 4 (2007) 1, pp. 45-50
's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram …
Persistent link: https://www.econbiz.de/10004966222
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A Fast Algorithm for the BDS Statistic
LeBaron, Blake - In: Studies in Nonlinear Dynamics & Econometrics 2 (1997) 2, pp. 53-59
The BDS statistic has proved to be one of several useful nonlinear diagnostics. It has been shown to have good power …, extensive Monte Carlo results have proved it useful in relatively small samples. However, the BDS test is not trivial to … short paper presents a fast algorithm for the BDS statistic, and outlines how these speed improvements are achieved. Source …
Persistent link: https://www.econbiz.de/10005751410
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A Generalized Fast Algorithm for BDS-Type Statistics
Mayer-Foulkes, David - In: Studies in Nonlinear Dynamics & Econometrics 4 (2000) 1, pp. 45-50
's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram …
Persistent link: https://www.econbiz.de/10005584891
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Nonlinearity in Exchange Rates and Forecasting
Moshiri, Saeed; Seifi, Forough - In: Iranian Economic Review 13 (2008) 1, pp. 83-105
and forecast. In this paper, a series of tests for nonlinearity and chaos in exchange rates is conducted using the daily … data on the market rates in Iran for the period 1991-2005. The tests for nonlinearity are BDS and ANN tests, and the tests … for chaos are autocorrelation and Lyapunov exponents. The tests results suggest that the exchange rates and their rates of …
Persistent link: https://www.econbiz.de/10010695806
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Testing for Nonlinear Structure and Chaos in Economic Time. A Comment.
Hommes, Cars; Manzan, Sebastiano - 2006
This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine … outliers and noisy chaos. In particular, we include some new simulations to investigate whether economic time series may be … characterized by low dimensional noisy chaos. …
Persistent link: https://www.econbiz.de/10010325181
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Can the Lasota (1977)'s model compete with the Mackey-Glass (1977)'s model in nonlinear modelling of financial time series?
Hennani, Rachida - 2015
Persistent link: https://www.econbiz.de/10011300800
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Testing for nonlinear structure and chaos in economic time series : a comment
Hommes, Cars H.; Manzan, Sebastiano - 2005 - August 2005, Journal of Macroeconomics, forthcoming
This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine … outliers and noisy chaos. In particular, we include some new simulations to investigate whether economic time series may be … characterized by low dimensional noisy chaos. …
Persistent link: https://www.econbiz.de/10011349217
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Uncovering nonlinear dynamics in air transport demand
Inglada-Pérez, Lucìa - In: International journal of transport economics : IJTE 43 (2016) 1/2, pp. 33-65
Persistent link: https://www.econbiz.de/10011559425