Since 2014
The Finite-Sample Size of the BDS Test for GARCH Standardized Residuals
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
The Finite-Sample Size of the BDS Test for GARCH Standardized Residuals
The Finite-Sample Size of the BDS Test for GARCH Standardized Residuals |
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| Creator |
Fernandes, Marcelo; Sao Paulo School of Economics, FGV and Queen Mary, University of London
Preumont, Pierre-Yves |
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| Subject |
BDS test, GARCH, response surface, size distortion
C12, C15, C52 — — |
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| Description |
This paper uses a multivariate response surface methodology to analyze the size distortion of the BDS test when applied to standardized residuals of rst-order GARCH processes. The results show that the asymptotic standard normal distribution is an unreliable approximation even in large samples. On the other hand, a simple log-transformation of the squared standardized residuals seems to correct most of the size problems. The estimated response surfaces can nonetheless provide not only a measure of the size distortion, but also more adequate critical values for theBDS test in small samples.
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| Publisher |
Sociedade Brasileira de Econometria
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| Contributor |
—
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| Date |
2014-03-26
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/18608
10.12660/bre.v32n22012.18608 |
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| Source |
Brazilian Review of Econometrics; Vol 32, No 2 (2012); 241-260
Brazilian Review of Econometrics; Vol 32, No 2 (2012); 241-260 1980-2447 |
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| Language |
eng
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/18608/17390
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