The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test
type: Item
instance of: scholarly article
title: The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test
zbMATH Open document ID: 0934.91045
DOI: 10.1023/A:1008612905284
author: Chris Brooks
author: Saeed Heravi
published in: Computational Economics
publication date: 1999-09-01T00:00:00Z
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 1330761
zbMATH Keywords: nonlinearity test
zbMATH Keywords: finite sample distribution
zbMATH Keywords: Monte Carlo study
zbMATH Keywords: economic time series
zbMATH Keywords: GARCH filter
zbMATH Keywords: BDS test statistic
MaRDI profile type: Publication
Recommended article: Specification tests for the error distribution in GARCH models
Recommended article: Testing for misspecification in the short-run component of GARCH-type models
Recommended article: Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes
Recommended article: On the Oversized Problem of Dickey–Fuller-Type Tests with GARCH Errors
Recommended article: Misspecification tests for periodic long memory GARCH models
Recommended article: Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons
Recommended article: Comparison of specification tests for GARCH models
Recommended article: Testing the equality of error distributions from \(k\) independent GARCH models
Recommended article: Falsifying ARCH/GARCH Models Using Bispectral Based Tests
description: scientific article; zbMATH DE number 1330761