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      <record key="001" att1="001" value="152832" att2="152832">001   152832</record>
      <field key="037" subkey="x">englisch</field>
      <field key="050" subkey="x">Forschungsbericht</field>
      <field key="076" subkey="">Ökonomie</field>
      <field key="079" subkey="y">http://www.ihs.ac.at/publications/eco/es-156.pdf</field>
      <field key="079" subkey="z">Caporale, Guglielmo Maria - et al., The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification (pdf)</field>
      <field key="079" subkey="y">http://ideas.repec.org/p/ihs/ihsesp/156.html</field>
      <field key="079" subkey="z">Institute for Advanced Studies. Economics Series; 156 (RePEc)</field>
      <field key="100" subkey="">Caporale, Guglielmo Maria</field>
      <field key="103" subkey="">London South Bank University</field>
      <field key="104" subkey="a">Ntantamis, Christos</field>
      <field key="107" subkey="">University of Piraeus</field>
      <field key="108" subkey="a">Pantelidis, Theologos</field>
      <field key="111" subkey="">University of Piraeus</field>
      <field key="112" subkey="a">Pittis, Nikitas</field>
      <field key="115" subkey="">University of Piraeus</field>
      <field key="331" subkey="">The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification</field>
      <field key="335" subkey="">A Monte Carlo Study</field>
      <field key="403" subkey="">1. Ed.</field>
      <field key="410" subkey="">Wien</field>
      <field key="412" subkey="">Institut für Höhere Studien</field>
      <field key="425" subkey="">2004, May</field>
      <field key="433" subkey="">24 pp.</field>
      <field key="451" subkey="">Institut für Höhere Studien; Reihe Ökonomie; 156</field>
      <field key="451" subkey="h">Kunst, Robert M. (Ed.) ; Fisher, Walter (Assoc. Ed.) ; Ritzberger, Klaus (Assoc. Ed.)</field>
      <field key="461" subkey="">Economics Series</field>
      <field key="517" subkey="c">from the Table of Contents: Introduction; The Brock, Dechert and Scheinkman (BDS) Test; Consistent Estimation and Moment and</field>
      <field key="Mem" subkey="o">ry Properties of the GARCH(1,1) Process; Monte Carlo Simulations; Conclusions;</field>
      <field key="542" subkey="">1605-7996</field>
      <field key="544" subkey="">IHSES 156</field>
      <field key="700" subkey="">C15</field>
      <field key="700" subkey="">C22</field>
      <field key="720" subkey="">BDS Test</field>
      <field key="720" subkey="">Nuisance-Parameter Free Property</field>
      <field key="720" subkey="">Monte Carlo Analysis</field>
      <field key="720" subkey="">GARCH(1,1) Model</field>
      <field key="720" subkey="">QML estimator</field>
      <field key="753" subkey="">Abstract: In this study, we examine the Brock, Dechert and Scheinkman (BDS) test when applied to the standardised residuals of an</field>
      <field key="est" subkey="i">mated GARCH(1,1) model as a test for the adequacy of this specification. We review the conditions derived by De Lima (1996,</field>
      <field key="Eco" subkey="n">ometric Reviews, 15, 237-259) for the nuisance-parameter free property to hold, and address the issue of their necessity,</field>
      <field key="usi" subkey="n">g the GARCH(1,1) model. By means of Monte Carlo simulations, we show that, provided that the unconditional meanexists, the</field>
      <field key="BDS" subkey="">test statistic still approximates the standard null distribution even when the majority of the conditions are violated.</field>
      <field key="Fur" subkey="t">her, the test performs reasonably well, as its empirical size is rather close to the nominal one. As a by-product of this</field>
      <field key="stu" subkey="d">y, we also examine the related issue of consistency of the QML estimators of the conditional variance parameters under</field>
      <field key="var" subkey="i">ous parameter configurations and alternative distributional assumptions on the innovation process.;</field>
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