[Gretl-devel] Re: nonlinearity tests, etc. (2)
On Sun, 28 Feb 2021, Sven Schreiber wrote:
Am 28.02.2021 um 17:07 schrieb Allin Cottrell:
> On Sun, 28 Feb 2021, Sven Schreiber wrote:
> I can see this could be useful if you just have a residual series you
> want to test (e.g. after ARMA). So I've put it into git on a trial
> basis. There's a new C-plugin, bdstest, which supports (for now) a
> "hidden" function, _bdstest(). It's based on LeBaron's
"fast" code.
Whoa, even though there was LeBaron's code, that was super quick!
Mark that up to nothing better to do in COVID time ;-)
About over-rejection of the null by standard BDS test when using
non-huge series:
Yes; but even in the original form where the test is liberal it could
be
useful I think. At least you know that there's probably nothing you need
to do after, say, ARMA if it cannot reject.
Point taken, but you'd have to take "cannot reject" to mean
something like p-value > 0.15 (or higher, for higher-dimensional
embedding).
I'm currently exploring bootstrapping of the BDS test, which looks
quite promising.
Allin