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

Brooks, C. (1999) Portmanteau model diagnostics and tests for nonlinearity: a comparative Monte Carlo study of two alternative methods. Computational Economics, 13 (3). pp. 249-263. ISSN 1572-9974

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To link to this item DOI: 10.1023/A:1008666700953

Abstract/Summary

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

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:35983
Publisher:Springer

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