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Results of BDS test on time series
| m–Dimensional Space | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| 2 | 3 | 4 | 5 | 6 | Linearity | ||||||
| Stat | Prob | Stat | Prob | Stat | Prob | Stat | Prob | Stat | Prob | ||
| SPGB/SPCE | 0.1883 | 0.000 | 0.3189 | 0.000 | 0.4085 | 0.000 | 0.4697 | 0.000 | 0.5111 | 0.000 | NO |
| SPGB/MSCI | 0.1903 | 0.000 | 0.3228 | 0.000 | 0.4141 | 0.000 | 0.4766 | 0.000 | 0.5199 | 0.000 | NO |
| SPCE/MSCI | 0.1919 | 0.000 | 0.3249 | 0.000 | 0.4168 | 0.000 | 0.4798 | 0.000 | 0.5229 | 0.000 | NO |
NO means the relationship between variables is nonlinear
