Table 4: Empirical size of the BDS test, for 𝜀 / 𝜎 = 0 . 5 , for iTraxx CDS index.

CDS 1 B/strp
Pr
CDS 2 B/strp
Pr
CDS 3 B/strp
Pr

𝑚 = 2 2.1639 0.0568 5.7869* 0.0024 11.6932* 0.0000
𝑚 = 3 3.4017* 0.0064 8.6165* 0.0000 15.3103* 0.0000
𝑚 = 4 3.9726* 0.0080 10.3502* 0.0000 30.2382* 0.0000
𝑚 = 5 3.8763 0.0136 10.9620* 0.0000 62.6563* 0.0000