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

Computational Economics

Volumn 13, Issue 2, 1999, Pages 147-162

  Brooks, Chris ^a   Heravi, Saeed M ^b  

^a UNIVERSITY OF READING   (United Kingdom)

^b CARDIFF UNIVERSITY   (United Kingdom)

Author keywords

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

Indexed keywords

EID: 0002502359     PISSN: 09277099     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1008612905284     Document Type: Article

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