@ARTICLE{17197505_1997,
author = {LeBaron, Blake},
keywords = {chaos, nonlinearity, specification testing, диагностика, диагностическое обследование, математическая модель, математический метод, эконометрическая модель, эконометрический метод},
title = {A Fast Algorithm for the BDS Statistic},
journal = {Studies in Nonlinear Dynamics and Econometrics},
year = {1997},
month = {},
volume = {2},
number = {2},
pages = {53-59},
url = {http://ecsocman.hse.ru/text/17197505/},
publisher = {},
language = {ru},
abstract = {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. },
annote = {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. }
}