On the robustness of nonlinearity tests to moment condition failure
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 76 (1997)
Issue (Month): 1-2 ()
Contact details of provider:
Web page: http://www.elsevier.com/locate/jeconom
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- Blattberg, Robert C & Gonedes, Nicholas J, 1974. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," The Journal of Business, University of Chicago Press, vol. 47(2), pages 244-80, April.
- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
- Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
- Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993.
"Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests,"
Journal of Econometrics,
Elsevier, vol. 56(3), pages 269-290, April.
- Tom Doan, . "REGWHITENNTEST: RATS procedure to perform White neural network test on regression," Statistical Software Components RTS00183, Boston College Department of Economics.
- Tom Doan, . "REGRESET: RATS procedure to perform Ramsey RESET test on regression," Statistical Software Components RTS00181, Boston College Department of Economics.
- Jansen, Dennis W & de Vries, Casper G, 1991.
"On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective,"
The Review of Economics and Statistics,
MIT Press, vol. 73(1), pages 18-24, February.
- Dennis Jansen & Casper de Vries, 1988. "On the frequency of large stock returns: putting booms and busts into perspective," Working Papers 1989-006, Federal Reserve Bank of St. Louis.
- Franses, Ph.H.B.F. & Dijk, D.J.C. van, 1997. "Do We Often Find ARCH Because Of Neglected Outliers?," Econometric Institute Report EI 9706-/A, Erasmus University Rotterdam, Econometric Institute.
- McPherson, Matthew Q. & Palardy, Joseph, 2007. "Are international stock returns predictable?: An examination of linear and non-linear predictability using generalized spectral tests," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(5), pages 452-464, December.
- Phillip Wild & John Foster, 2012. "On testing for non-linear and time irreversible probabilistic structure in high frequency ASX financial time series data," Discussion Papers Series 466, School of Economics, University of Queensland, Australia.
- Belaire-Franch, Jorge, 2004. "Testing for non-linearity in an artificial financial market: a recurrence quantification approach," Journal of Economic Behavior & Organization, Elsevier, vol. 54(4), pages 483-494, August.
- Vilasuso, Jon, 1999. "The Liquidity Effect and the Operating Procedure of the Federal Reserve," Journal of Macroeconomics, Elsevier, vol. 21(3), pages 443-461, July.
- de Menezes, Lilian M. & Nikolaev, Nikolay Y., 2006. "Forecasting with genetically programmed polynomial neural networks," International Journal of Forecasting, Elsevier, vol. 22(2), pages 249-265.
- Marian Vavra, 2012. "Robustness of Power Properties of Non-linearity Tests," Birkbeck Working Papers in Economics and Finance 1205, Birkbeck, Department of Economics, Mathematics & Statistics.
- repec:ebl:ecbull:v:3:y:2002:i:17:p:1-10 is not listed on IDEAS
- Brooks, C. & Clare, A. D. & Persand, G., 2000. "A word of caution on calculating market-based minimum capital risk requirements," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1557-1574, October.
- Chen, Yi-Ting & Chou, Ray Y. & Kuan, Chung-Ming, 2000. "Testing time reversibility without moment restrictions," Journal of Econometrics, Elsevier, vol. 95(1), pages 199-218, March.
- Fong, Wai Mun, 2003. "Time reversibility tests of volume-volatility dynamics for stock returns," Economics Letters, Elsevier, vol. 81(1), pages 39-45, October.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.