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

Evžen Kočenda

MPRA Paper from University Library of Munich, Germany

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.

Keywords: chaos; nonlinear dynamics; correlation integral; Monte Carlo; exchange rates (search for similar items in EconPapers)
JEL-codes: C14 C15 C52 F31 (search for similar items in EconPapers)
Date: 1996-09
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Citations: View citations in EconPapers (1)

Published in Econometric Reviews 3.20(2001): pp. 337-351

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Related works:
Working Paper: An Alternative to the BDS Test: Integration Across The Correlation Integral (2003) Downloads
Journal Article: AN ALTERNATIVE TO THE BDS TEST: INTEGRATION ACROSS THE CORRELATION INTEGRAL (2001) Downloads
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