The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test

DOI10.1023/A:1008612905284zbMath0934.91045MaRDI QIDQ1300636

Saeed M. Heravi, Chris Brooks

Publication date: 1 September 1999

Published in: Computational Economics (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo studyeconomic time seriesnonlinearity testBDS test statisticfinite sample distributionGARCH filter

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (6)

DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS ⋮ Optimal Range for the iid Test Based on Integration Across the Correlation Integral ⋮ Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models ⋮ Estimating critical values for testing the i.i.d. in standardized residuals from GARCH models in finite samples ⋮ A modified BDS test ⋮ NONLINEARITY, CYCLICITY, AND PERSISTENCE IN CONSUMPTION AND INCOME RELATIONSHIPS: RESEARCH IN HONOR OF MELVIN J. HINICH

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