Can portmanteau nonlinearity tests serve as general mis-specification tests? Evidence from symmetric and asymmetric GARCH models

被引：15

作者：

Brooks, C ^{[1
]}

Henry, OT

机构：

[1] Univ Reading, ISMA Ctr, Dept Econ, Reading RG6 6BA, Berks, England

[2] Univ Melbourne, Dept Econ, Parkville, Vic 3052, Australia

来源：

ECONOMICS LETTERS | 2000年 / 67卷 / 03期

关键词：

GARCH models; asymmetries; mis-specification; Engle and Ng tests; BDS test;

D O I：

10.1016/S0165-1765(00)00212-3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A number of recent papers have employed the BDS test as a general test for mis-specification for linear and nonlinear models. We show that for a particular class of conditionally heteroscedastic models, the BDS test is unable to detect a common mis-specification. Our results also demonstrate that specific rather than portmanteau diagnostics are required to detect neglected asymmetry in volatility. However for both classes of tests reasonable power is only obtained using very large sample sizes. (C) 2000 Elsevier Science S.A. All rights reserved.

引用

页码：245 / 251

页数：7

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