Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/974
Full metadata record
DC FieldValueLanguage
dc.contributor.authorCaporale, GM-
dc.contributor.authorNtantamis, C-
dc.contributor.authorPantelidis, T-
dc.contributor.authorPittis, N-
dc.coverage.spatial22en
dc.date.accessioned2007-07-05T15:31:59Z-
dc.date.available2007-07-05T15:31:59Z-
dc.date.issued2004-
dc.identifier.citationEconomics and Finance Working papers, Brunel University, 04-14en
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/974-
dc.description.abstractIn this study we examine the widely used Brock, Dechert and Scheinkman (BDS) test when applied to the logarithm of the standardized residuals of an estimated GARCH(1,1) model as a test for the adequacy of this speciÞcation. We review the conditions derived by De Lima (1996, Econometric Reviews, 15, 237-259) for the nuisance-parameter free property to hold, and address the issue of their necessity, using the ßexible framework offered by the GARCH(1,1) model in terms of moment, memory and time heterogeneity properties. By means of Monte Carlo simulations, we show that the BDS test statistic still approximates the standard null distribution even for mildly explosive processes that violate the majority of the conditions. Thus, the test performs reasonably well, its empirical size being rather close to the nominal one. As a by-product of this study, we also shed light on the related issue of consistency of the QML estimators of the conditional variance parameters under various parameter conÞgurations and alternative distributional assumptions on the innovation process.en
dc.format.extent572008 bytes-
dc.format.mimetypeapplication/pdf-
dc.language.isoen-
dc.publisherBrunel Universityen
dc.subjectNonlinearities, BDS Test, Nuisance-Parameter Free Property, Monte Carlo Analysis,en
dc.subjectGARCH(1,1) Model, QML estimator, Consistencyen
dc.titleThe Bds Test As A Test For The Adequacy Of A Garch(1,1) Specification: A Monte Carlo Studyen
dc.typeResearch Paperen
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

Files in This Item:
File Description SizeFormat 
04-14.pdf558.6 kBAdobe PDFView/Open


Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.