MATILLA-GARCÍA, M. () (Facultad de CC Económicas UNED. Dpto. Economía Aplicada Cuantitativa I. Calle Senda del Rey 11. CP 28040, Madrid.) RODRÍGUEZ RUIZ, J. () (Facultad de CC Económicas UNED. Dpto. Economía Aplicada Cuantitativa I. Calle Senda del Rey 11. CP 28040, Madrid.)
Abstract
El test BDS de Brock, Dechert y Scheinkman es un test asintótico que proporciona una herramienta no paramétrica para contrastar la hipótesis nula de series i.i.d., con potencia, en teoría, sobre todas las alternativas restantes (lineales o no lineales, estocásticas o deterministas). Una versión del BDS ha sido implementada en E-views, motivo por el que la herramienta está ganando difusión dentro del análisis econométrico. Desafortunadamente, con anterioridad a esta reciente implementación y aun en la actualidad, se han observado ciertas deficiencias en la potencia y tamaño del test para muestras finitas; la sensibilidad del test ante ciertos parámetros del mismo y en el modo de evaluar los resultados; etc. Estas deficiencias, y otras nuevas, son expuestas y analizadas ofreciendo explicaciones cuando esto es posible. The BDS test (Brock, Dechert and Sheinkman) is an asymptotic test that provided a nonparametric tool for testing the null of i.i.d, with power against a broad class of alternative hypothesis (linear or nonlinear, stochastic or deterministic). Recently, a new version of BDS test has been implemented on E-views, hence the tool will be widely disseminated among econometricians. Unfortunately, certain limitations have been detected for BDS test. This limitations refer to: size and power of the test, sensitivity with respect to free parameters and the evaluation process of the obtained results. All these deficiencies are deeply commented in this paper.
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Volume (Year): 23 (2005) Issue (Month): (Agosto) Pages: 507-519 Download reference. The following formats are available: HTML
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Handle: RePEc:lrk:eeaart:23_2_13
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Find related papers by JEL classification: C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
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