The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test (Q1300636)
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scientific article; zbMATH DE number 1330761
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test |
scientific article; zbMATH DE number 1330761 |
Statements
The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test (English)
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1 September 1999
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nonlinearity test
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finite sample distribution
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Monte Carlo study
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economic time series
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GARCH filter
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BDS test statistic
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0.87520266
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0.8618875
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0.86115134
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0.85749865
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0.8530101
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0.85219103
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0.84777564
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0.84460175
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