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

Domenico Mignacca and Mauro Gallegati ()
Additional contact information
Domenico Mignacca: Universita di Ancona

International Finance from EconWPA

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.

JEL-codes: F3 F4 (search for similar items in EconPapers)
Date: 1994-10-20, Revised 1994-11-09
View list of references

Downloads: (external link)
http://129.3.20.41/eps/if/papers/9410/9410002.pdf (application/pdf)
http://129.3.20.41/eps/if/papers/9410/9410002.ps.gz (application/postscript)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpif:9410002

Access Statistics for this paper

More papers in International Finance from EconWPA
Series data maintained by EconWPA ().