TY - JOUR
T1 - Portmanteau model diagnostics and tests for nonlinearity: a comparative Monte Carlo study of two alternative methods
AU - Brooks, Chris
PY - 1999
Y1 - 1999
N2 - 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
AB - 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
U2 - 10.1023/A:1008666700953
DO - 10.1023/A:1008666700953
M3 - Article (Academic Journal)
SN - 0927-7099
VL - 13
SP - 249
EP - 263
JO - Computational Economics
JF - Computational Economics
IS - 3
ER -