Nuisance parameter free properties of correlation integral based statistics |
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Authors: | Pedro J F de Lima |
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Institution: | Department of Economics , The Johns Hopkins University , Baltimore, MD, 21218 E-mail: de_lima@jhuvms.hcf.jhu.edu |
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Abstract: | This paper presents conditions under which statistics based on the correlation integral are invariant to the use of estimated residuals from dynamic models. The methods are applied to the so-called BDS test for nonlinearity, under a variety of data-generating processes. |
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Keywords: | BDS Test Correlation Integral Residuals U-Statistics |
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