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Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests

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  • Lee, Tae-Hwy
  • White, Halbert
  • Granger, Clive W. J.

Abstract

RegRESET is a regression post-processor which performs Ramsey's RESET test. Use this after running a linear regression to test the specification of that regression. Ramsey(1969): "Tests for specification errors in classical Least-Squares Regression Analysis," JRSS-B, vol 32, 350-371. Lee, White and Granger(1992), "Testing for Neglected Non-linearities in Time Series Models," J. of Econometrics, vol 56, 269-290.
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  • 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.
  • Handle: RePEc:eee:econom:v:56:y:1993:i:3:p:269-290
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