The Finite-Sample Size of the BDS Test for GARCH Standardized Residuals

The Finite-Sample Size of the BDS Test for GARCH Standardized Residuals

dc.creatorFernandes, Marcelo
dc.creatorPreumont, Pierre-Yves
dc.date2012-04-25
dc.date.accessioned2022-11-03T21:19:21Z
dc.date.available2022-11-03T21:19:21Z
dc.identifierhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/18608
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5048038
dc.descriptionThis 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.en-US
dc.formatapplication/pdf
dc.languageeng
dc.publisherSociedade Brasileira de Econometriaen-US
dc.relationhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/18608/17390
dc.sourceBrazilian Review of Econometrics; Vol. 32 No. 2 (2012); 241-260en-US
dc.sourceBrazilian Review of Econometrics; v. 32 n. 2 (2012); 241-260pt-BR
dc.source1980-2447
dc.subjectBDS testen-US
dc.subjectGARCHen-US
dc.subjectresponse surfaceen-US
dc.subjectsize distortionen-US
dc.subjectC12en-US
dc.subjectC15en-US
dc.subjectC52en-US
dc.titleThe Finite-Sample Size of the BDS Test for GARCH Standardized Residualsen-US
dc.titleThe Finite-Sample Size of the BDS Test for GARCH Standardized Residualspt-BR
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion


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