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Detecting nonlinearity in time series by model selection criteria

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  • Pena, Daniel
  • Rodriguez, Julio
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    Bibliographic Info

    Article provided by Elsevier in its journal International Journal of Forecasting.

    Volume (Year): 21 (2005)
    Issue (Month): 4 ()
    Pages: 731-748

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    Handle: RePEc:eee:intfor:v:21:y:2005:i:4:p:731-748

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    Web page: http://www.elsevier.com/locate/ijforecast

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    References

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    1. Margaret McConnell & Gabriel Perez Quiros, 2000. "Output fluctuations in the United States: what has changed since the early 1980s?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
    2. 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.
    3. Harvey, Andrew & Streibel, Mariane, 1998. "Testing for a slowly changing level with special reference to stochastic volatility," Journal of Econometrics, Elsevier, vol. 87(1), pages 167-189, August.
    4. Pedro Galeano & Daniel Peña, 2004. "Model Selection Criteria And Quadratic Discrimination In Arma And Setar Time Series Models," Statistics and Econometrics Working Papers ws041406, Universidad Carlos III, Departamento de Estadística y Econometría.
    5. William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen, 1996. "A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos," Econometrics 9602005, EconWPA, revised 20 Sep 1996.
    6. Maravall, Agustin, 1983. "An Application of Nonlinear Time Series Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(1), pages 66-74, January.
    7. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer, vol. 21(1), pages 243-247, December.
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    Cited by:
    1. Miguel Ángel Bermejo & Daniel Peña & Ismael Sánchez, 2009. "Graphical identification of TAR models," Statistics and Econometrics Working Papers ws097723, Universidad Carlos III, Departamento de Estadística y Econometría.
    2. Daniel Ventosa-Santaulària & Carlos Vladimir Rodríguez-Caballero, 2013. "Polynomial Regressions and Nonsense Inference," Econometrics, MDPI, Open Access Journal, vol. 1(3), pages 236-248, November.
    3. Bertram, Philip & Sibbertsen, Philipp & Stahl, Gerhard, 2011. "About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis," Hannover Economic Papers (HEP) dp-469, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    4. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2007. "Comparison of time series with unequal length," MPRA Paper 6605, University Library of Munich, Germany.
    5. O'Brien, Edward J., 2008. "A note on spurious nonlinear regression," Economics Letters, Elsevier, vol. 100(3), pages 366-368, September.

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