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
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Domenico Mignacca: Universita di Ancona

International Finance from University Library of Munich, Germany

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
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