Narrow search
Showing 1 - 10 of 185
Cover Image
A Generalized Fast Algorithm for BDS-Type Statistics
Mayer-Foulkes, David - In: Studies in Nonlinear Dynamics & Econometrics 4 (2007) 1, pp. 45-50
's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram …
Persistent link: https://www.econbiz.de/10004966222
Cover Image
A Fast Algorithm for the BDS Statistic
LeBaron, Blake - In: Studies in Nonlinear Dynamics & Econometrics 2 (1997) 2, pp. 53-59
The BDS statistic has proved to be one of several useful nonlinear diagnostics. It has been shown to have good power …, extensive Monte Carlo results have proved it useful in relatively small samples. However, the BDS test is not trivial to … short paper presents a fast algorithm for the BDS statistic, and outlines how these speed improvements are achieved. Source …
Persistent link: https://www.econbiz.de/10005751410
Cover Image
A Generalized Fast Algorithm for BDS-Type Statistics
Mayer-Foulkes, David - In: Studies in Nonlinear Dynamics & Econometrics 4 (2000) 1, pp. 45-50
's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram …
Persistent link: https://www.econbiz.de/10005584891
Cover Image
Testing for nonlinear structure and chaos in economic time series : a comment
Hommes, Cars H.; Manzan, Sebastiano - 2005 - August 2005, Journal of Macroeconomics, forthcoming
This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine … outliers and noisy chaos. In particular, we include some new simulations to investigate whether economic time series may be … characterized by low dimensional noisy chaos. …
Persistent link: https://www.econbiz.de/10011349217
Cover Image
Can the Lasota (1977)'s model compete with the Mackey-Glass (1977)'s model in nonlinear modelling of financial time series?
Hennani, Rachida - 2015
Persistent link: https://www.econbiz.de/10011300800
Cover Image
Testing for nonlinearity and chaos in economic time series with noise titration
Caraiani, Petre - In: Economics letters 120 (2013) 2, pp. 192-194
Persistent link: https://www.econbiz.de/10010127780
Cover Image
Uncovering nonlinear dynamics in air transport demand
Inglada-Pérez, Lucìa - In: International journal of transport economics : IJTE 43 (2016) 1/2, pp. 33-65
Persistent link: https://www.econbiz.de/10011559425
Cover Image
An Improved Nonparametric Unit-Root Test
Gao, Jiti; King, Maxwell - Department of Econometrics and Business Statistics, … - 2012
This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined.
Persistent link: https://www.econbiz.de/10010860412
Cover Image
Specification Testing in Nonstationary Time Series Models
Chen, Jia; Gao, Jiti; Li, Degui; Lin, Zhengyan - Department of Economics and Related Studies, University … - 2014
In this paper, we consider a specification testing problem in nonlinear time series models with nonstationary regressors and propose using a nonparametric kernel-based test statistic. The nullasymptotics for the proposed nonparametric test statistic have been well developed in the existing...
Persistent link: https://www.econbiz.de/10010932928
Cover Image
Poorly Measured Confounders Are More Useful on the Left Than on the Right
Pei, Zhuan; Pischke, Jörn-Steffen; Schwandt, Hannes - 2017
Researchers frequently test identifying assumptions in regression based research designs (which include instrumental variables or difference-in-differences models) by adding additional control variables on the right hand side of the regression. If such additions do not affect the coefficient of...
Persistent link: https://www.econbiz.de/10011653375