Advanced Search
MyIDEAS: Login to save this paper or follow this series

A Low-Dimension Portmanteau Test for Non-linearity

Contents:

Author Info

  • Jennifer Castle
  • David Hendry

Abstract

A new test for non-linearity in the conditional mean is proposed using functions of the principal components of regressors.� The test extends the non-linearity tests based on Kolmogorov-Gavor polynomials (Thursby and Schmidt, 1977, Tsay, 1986, and Terasvirta, Lin and Granger, 1993), but circumvents problems of high dimensionality, is equivariant to collinearity, and includes exponential functions, so is a portmanteau test with power against a wide range of possible alternatives.� A Monte Carlo analysis compared the performance of the test to the optimal infeasible test and to alternative tests.� The relative performance of the test is encouraging: the test has the appropriate size and has high power in many situations.

Download Info

If 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.
File URL: http://www.economics.ox.ac.uk/materials/papers/4214/paper471.pdf
Download Restriction: no

Bibliographic Info

Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 471.

as in new window
Length:
Date of creation: 01 Jan 2010
Date of revision:
Handle: RePEc:oxf:wpaper:471

Contact details of provider:
Postal: Manor Rd. Building, Oxford, OX1 3UQ
Email:
Web page: http://www.economics.ox.ac.uk/
More information through EDIRC

Related research

Keywords: Functional form; Portmanteau test; Non-linearity; Principal components; Collinearity;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
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.:
as in new window
  1. 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, Elsevier, vol. 56(3), pages 269-290, April.
  2. Teräsvirta, Timo, 1996. "Power Properties of Linearity Tests for Time Series," Working Paper Series in Economics and Finance 94, Stockholm School of Economics.
  3. Kevin D. Hoover & Stephen J. Perez, 1999. "Data mining reconsidered: encompassing and the general-to-specific approach to specification search," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 167-191.
  4. Phoebus J. Dhrymes & E. Philip Howrey & Saul H. Hymans & Jan Kmenta & Edward E. Leamer & Richard E. Quandt & James B. Ramsey & Harold T. Shapiro & Victor Zarnowitz, 1972. "Criteria For Evaluation Of Econometric Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 1, number 3, pages 291-325 National Bureau of Economic Research, Inc.
  5. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, Econometric Society, vol. 58(6), pages 1443-58, November.
  6. Phillips, Peter C.B., 2007. "Regression With Slowly Varying Regressors And Nonlinear Trends," Econometric Theory, Cambridge University Press, vol. 23(04), pages 557-614, August.
  7. Spanos,Aris, 1986. "Statistical Foundations of Econometric Modelling," Cambridge Books, Cambridge University Press, number 9780521269124, 9.
  8. Abadir, Karim, 1995. "An Introduction to Hypergeometric Functions for Economists," Discussion Papers 9510, Exeter University, Department of Economics.
  9. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, Econometric Society, vol. 50(1), pages 1-25, January.
  10. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198283164, October.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Jennifer Castle & David Hendry, 2011. "Model Selection in Equations with Many 'Small' Effects," Economics Series Working Papers 528, University of Oxford, Department of Economics.
  2. Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
  3. Anders Bredahl Kock & Timo Teräsvirta, 2010. "Forecasting with nonlinear time series models," CREATES Research Papers 2010-01, School of Economics and Management, University of Aarhus.
  4. Barry Harrison & Winston Moore, 2012. "Stock Market Efficiency, Non-Linearity, Thin Trading and Asymmetric Information in MENA Stock Markets," Economic Issues Journal Articles, Economic Issues, Economic Issues, vol. 17(1), pages 77-93, March.
  5. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
  6. David F. Hendry, 2011. "Empirical Economic Model Discovery and Theory Evaluation," Rationality, Markets and Morals, Frankfurt School Verlag, Frankfurt School of Finance & Management, vol. 2(46), October.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:oxf:wpaper:471. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Caroline Wise).

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.