We provide a fast algorithm to calculate the m-dimensional distance histogram on which Brock, Dechert, and Sheinkman's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram for any finite set of distances simultaneously, and...

Some popular parametric diffusion processes have been assumed as such underlying diffusion processes. This paper considers an important case where both the drift and volatility functions of the underlying diffusion process are unknown functions of the underlying process, and then proposes using...

We examine a Markov-Switching model of Singaporean GDP using a combination of formal moment-based tests and informal graphical tests. The tests confirm that the Markov-Switching model fits the data better than a linear, autoregressive alternative. The methods are extended to allow us to identify...

Hall's (1988) approach to study price- cost margins is adapted to simultaneously estimate price- cost margins and scale economies from a panel of plant level data. The paper shows how this methodology provides a very flexible framework with only a few, economically interesting parameters to be...

Hall's (1988) approach to study price- cost margins is adapted to simultaneously estimate price- cost margins and scale economies from a panel of plant level data. The paper shows how this methodology provides a very flexible framework with only a few, economically interesting parameters to be...

The Cowles Commission approach is reviewed and compared to the approaches of real business cycle (RBC) theorists and new Keynesian economists. It is argued that RBC models are not tested in a serious enough way and that the new Keynesian literature is not empirical enough for testing even to be...

We provide a fast algorithm to calculate the m-dimensional distance histogram on which Brock, Dechert, and Sheinkman's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram for any finite set of distances simultaneously, and...

We provide a fast algorithm to calculate the m-dimensional distance histogram on which Brock, Dechert, and Sheinkman's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram for any finite set of distances simultaneously, and...

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...