IDEAS home Printed from https://ideas.repec.org/a/jof/jforec/v28y2009i3p266-276.html
   My bibliography  Save this article

A robust Cusum test for SETAR-type nonlinearity in time series

Author

Listed:
  • Joseph D. Petruccelli

    (Department of Mathematical Sciences, Worcester Polytechnic Institute, Worcester, Massachusetts, USA)

  • Alina Onofrei

    (Division of Preventive and Behavioral Medicine, University of Massachusetts Medical School, Worcester, Massachusetts, USA)

  • Jayson D. Wilbur

    (Instrumentation Laboratory, Lexington, Massachusetts, 02421, USA)

Abstract

As a part of an effective self-exciting threshold autoregressive (SETAR) modeling methodology, it is important to identify processes exhibiting SETAR-type nonlinearity. A number of tests of nonlinearity have been developed in the literature. However, it has recently been shown that all these tests perform poorly for SETAR-type nonlinearity detection in the presence of additive outliers. In this paper, we develop an improved test for SETAR-type nonlinearity in time series. The test is an outlier-robust test based on the cumulative sums of ordered weighted residuals from generalized maximum likelihood fits. A Monte Carlo study confirms that the proposed test is competitive with existing tests for data from uncontaminated SETAR models and superior to them for SETAR data contaminated with additive outliers. Copyright © 2008 John Wiley & Sons, Ltd.

Suggested Citation

  • Joseph D. Petruccelli & Alina Onofrei & Jayson D. Wilbur, 2009. "A robust Cusum test for SETAR-type nonlinearity in time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(3), pages 266-276.
  • Handle: RePEc:jof:jforec:v:28:y:2009:i:3:p:266-276
    DOI: 10.1002/for.1113
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1002/for.1113
    File Function: Link to full text; subscription required
    Download Restriction: no

    References listed on IDEAS

    as
    1. Balke, Nathan S & Fomby, Thomas B, 1994. "Large Shocks, Small Shocks, and Economic Fluctuations: Outliers in Macroeconomic Time Series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(2), pages 181-200, April-Jun.
    2. Man-Wai Ng & Wai-Sum Chan, 2004. "Robustness of alternative non-linearity tests for SETAR models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 215-231.
    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


    Cited by:

    1. Yoon, Gawon, 2009. "It's all the miners' fault: On the nonlinearity in U.S. unemployment rates," Economic Modelling, Elsevier, vol. 26(6), pages 1449-1454, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jof:jforec:v:28:y:2009:i:3:p:266-276. 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: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://www3.interscience.wiley.com/cgi-bin/jhome/2966 .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.