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

被引：25

作者：

Brooks C. ^{[1
]}

Heravi S.M. ^{[2
]}

机构：

[1] ISMA Centre, Department of Economics, University of Reading, Reading RG6 6AA, Whiteknights

[2] Cardiff Business School, University of Wales

来源：

Computational Economics | 1999年 / 13卷 / 2期

关键词：

BDS test; Finite sample distribution; GARCH filters; Monte Carlo study; Nonlinearity test;

D O I：

10.1023/A:1008612905284

中图分类号：

学科分类号：

摘要：

This paper considers the effect of using a GARCH filter on the properties of the BDS test statistic as well as a number of other issues relating to the application of the test. It is found that, for certain values of the user-adjustable parameters, the finite sample distribution of the test is far-removed from asymptotic normality. In particular, when data generated from some completely different model class are filtered through a GARCH model, the frequency of rejection of iid falls, often substantially. The implication of this result is that it might be inappropriate to use non-rejection of iid of the standardised residuals of a GARCH model as evidence that the GARCH model 'fits' the data. © 1999 Kluwer Academic Publishers.

引用

页码：147 / 162

页数：15

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