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BDS TEST-PACKAGE tseries

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BDS TEST-PACKAGE tseries

papa
Dear Alexios,
Thanks for the prompt response,Yes, it is tseries. I am using EGARCH, can I since pass the log transformation since this model cannot be transformed into a linear additive model?
Hope to hearing from you soon.
Kind regards,
papa
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Re: BDS TEST-PACKAGE tseries

alexios
Please don't post your question twice
(https://stat.ethz.ch/pipermail/r-sig-finance/2012q2/009970.html).
There is no clear answer. The test may not have good size for other
models, but it varies. You can do a monte carlo size test to gauge the
degree of bias (if you don't know how, search for the terms and you
should get some reasonable hits) for you model and set of parameters.

Regards,
Alexios

On 19/04/2012 14:42, Papa sen wrote:
> Dear Alexios,
> Thanks for the prompt response,Yes, it is tseries. I am using EGARCH,
> can I since pass the log transformation since this model cannot be
> transformed into a linear additive model?
> Hope to hearing from you soon.
> Kind regards,
> papa

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