Liu, T; Granger, C W J; Heller, W P - In: Journal of Applied Econometrics 7 (1992) S, pp. 25-39
We consider two ways of distinguishing deterministic time-series from stochastic white noise; the Grassberger-Procaccia correlation exponent test and the Brock, Dechert, Scheinkman (or BDS) test. Using simulated data to test the power of these tests, the correlation exponent test can distinguish...
