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A Generalized BDS Statistic

Published:2004-10 Issue:3 Volume:24 Page:277-300
ISSN:0927-7099
Container-title:Computational Economics
language:en
Short-container-title:Comput Econ

Author:

Matilla-Garc�a M.,Queralt R.,Sanz P.,V�zquez F. J.

Publisher

Springer Science and Business Media LLC

Subject

Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)

Link

http://link.springer.com/content/pdf/10.1007/s10614-004-4657-y.pdf

Reference20 articles.

1. Albano, A.M., Muench, J., Schwartz, C., Mees, A.I. and Rapp, P.E. (1988). Singular-value decomposition and the Grassberger-Procaccia Algorithm. Physical Review A, 38, 3017?3027.

2. Aparicio, M.T., Pozo, E. and Saura, D. (1999). Investigating the chaotic behavior in Economic Series: The delay-time in the Grassberger?Procaccia algorithm. International Journal of theoretical and Applied Finance, 2, 357?380.

3. Barnett, W.A. and Chen, P. (1988). The aggregation-theoretic monetary aggregates are Chaotic and Have Strange Attractor: An econometric application of Mathematical Chaos. In W. A. Barnett, E. Brendt and H. White (eds.), Dynamic Econometric Modelling, Proceedings of the third International Symposium in Economic Theory and Econometrics. Cambridge University Press, New York.

4. Barnett, W., Gallant, A.R., Hinich, M.J., Jungeilges, J.A., Kaplan, D.T. and Jensen, M.J. (1997). A single-bind controlled competition among tests for nonlinearity and chaos. Journal of Econometrics, 82, 157?192.

5. Brock, W.A., Dechert, W.D., Scheinkman, J.A. and LeBaron, B. (1996). A test for independence based on the Correlation Dimension. Econometric Reviews, 15, 197?235.

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