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Nuisance parameter free properties of correlation integral based statistics

Nuisance parameter free properties of correlation integral based statistics 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Econometric Reviews Taylor & Francis

Nuisance parameter free properties of correlation integral based statistics

Econometric Reviews , Volume 15 (3): 23 – Jan 1, 1996

Nuisance parameter free properties of correlation integral based statistics

Econometric Reviews , Volume 15 (3): 23 – Jan 1, 1996

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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References (26)

Publisher
Taylor & Francis
Copyright
Copyright Taylor & Francis Group, LLC
ISSN
1532-4168
eISSN
0747-4938
DOI
10.1080/07474939608800354
Publisher site
See Article on Publisher Site

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.

Journal

Econometric ReviewsTaylor & Francis

Published: Jan 1, 1996

Keywords: BDS Test; Correlation Integral; Residuals; U-Statistics

There are no references for this article.