Revised BDS test

DOI10.1007/S11766-024-4932-8MaRDI QIDQ7032675zbMATH OpenFDO

Authors Wenya Luo, Zhidong Bai, Jiang Hu, Chen Wang

Publication date 4 February 2025

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11766-024-4932-8

zbMATH Keywords

BDS testcorrelation integralindependenceover-rejection

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites work

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• TESTING SERIAL INDEPENDENCE USING THE SAMPLE DISTRIBUTION FUNCTION
• The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test

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