Portmanteau model diagnostics and tests for nonlinearity: a comparative Monte Carlo study of two alternative methods

Research output: Contribution to journalArticle (Academic Journal)peer-review

7 Citations (Scopus)

Abstract

This paper employs an extensive Monte Carlo study to test the size and power of the BDS and close return methods of testing for departures from independent and identical distribution. It is found that the finite sample properties of the BDS test are far superior and that the close return method cannot be recommended as a model diagnostic. Neither test can be reliably used for very small samples, while the close return test has low power even at large sample sizes
Original languageEnglish
Pages (from-to)249-263
Number of pages15
JournalComputational Economics
Volume13
Issue number3
DOIs
Publication statusPublished - 1999

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