In this study we examine the widely used Brock, Dechert and Scheinkman (BDS) test when applied to the logarithm of the standardized residuals of an estimated GARCH(1,1) model as a test for the adequacy of this speci?cation. We review the conditions derived by De Lima (1996, Econometric Reviews,...

This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach introduces fractional integration and nonlinearities simultaneously into the same framework (unlike earlier studies employing a sequential procedure), using a Lagrange...

In this study we examine the widely used Brock, Dechert and Scheinkman (BDS) test when appliedto the logarithm of the standardized residuals of an estimated GARCH(1,1) model as a test for theadequacy of this speci?cation. We review the conditions derived by De Lima (1996, Econometric Reviews,15,...

This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach introduces fractional integration and nonlinearities simultaneously into the same framework, using a Lagrange Multiplier procedure with a standard null limit...