

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,
p s

________________________________
 Da: alexios ghalanos <alexios@4dscape.com>
A: r-sig-finance@r-project.org 

Inviato: Martedė 17 Aprile 2012 18:02
Oggetto: Re: [R-SIG-Finance] bds test

1. You did not bother to mention the function or package, but I assume 
you mean the bds.test from the tseries package.

2. I would think that the examples in the documentation of bds.test are 
VERY clear as to what the output means.
The Null is that the series is i.i.d. (so p-value of zero obviously 
rejects this).

3. The BDS test is not nuisance-parameter free, so if you have obtained 
the standardized residuals from some GARCH model for example, then the 
asymptotic distribution of the test statistic will likely be affected by 
this (if you are using a standard GARCH then you can apply the 
correction of De Lima (1996) and pass the log standardized squared 
residuals).
    
Regards,
Alexios


On 17/04/2012 16:11, Papa Senyo wrote:
>    Dear ALL,
> Please, I carried out the above test and got the output below: Csvar is a standardized residuals,
>
>
> BDS Test
>
> data:  Csvar
>
> Embedding dimension =  2 3
>
> Epsilon for close points =  0.5096 1.0192 1.5288 2.0385
>
> Standard Normal =
>        [ 0.5096 ] [ 1.0192 ] [ 1.5288 ] [ 2.0385 ]
> [ 2 ]     5.2955     5.2946     4.6749     4.2802
> [ 3 ]     4.5124     4.9592     4.7725     4.6660
>
> p-value =
>        [ 0.5096 ] [ 1.0192 ] [ 1.5288 ] [ 2.0385 ]
> [ 2 ]          0          0          0          0
> [ 3 ]          0          0          0          0
>
> The conclusion is unclear to me and would like to have some comments on the output from you all.
> Kind regards,
> Sen
>
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>
>
>
>
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