A Fast Algorithm for the BDS Statistic
Опубликовано на портале: 07-04-2004
Studies in Nonlinear Dynamics and Econometrics.
1997.
Vol. 2.
No. 2.
P. 53-59.
Тематический раздел:
The BDS statistic has proved to be one of several useful nonlinear diagnostics. It
has been shown to have good power against many nonlinear alternatives, and its asymptotic
properties as a residual diagnostic are well understood. Furthermore, extensive Monte
Carlo results have proved it useful in relatively small samples. However, the BDS
test is not trivial to calculate, and is even more difficult to deal with if one
wants the speed necessary to make bootstrap resampling feasible. This short paper
presents a fast algorithm for the BDS statistic, and outlines how these speed improvements
are achieved. Source code in the C programming language is included.
Ключевые слова
chaos nonlinearity specification testing диагностика диагностическое обследование математическая модель математический метод эконометрическая модель эконометрический метод
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