Power Properties of Linearity Tests for Time Series
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Other versions of this item:
- Teräsvirta Timo, 1996. "Power Properties of Linearity Tests for Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 1(1), pages 1-10, April.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Castle, Jennifer L. & Hendry, David F., 2010.
"A low-dimension portmanteau test for non-linearity,"
Journal of Econometrics,
Elsevier, vol. 158(2), pages 231-245, October.
- Jennifer Castle & David Hendry, 2010. "A Low-Dimension Portmanteau Test for Non-linearity," Economics Series Working Papers 471, University of Oxford, Department of Economics.
- Q. Farooq Akram & Øyvind Eitrheim & Lucio Sarno, 2005. "Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003," Working Paper 2005/2, Norges Bank.
- Berg, Nathan, 2004. "No-decision classification: an alternative to testing for statistical significance," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 33(5), pages 631-650, November.
More about this item
KeywordsBilinear model; local asymptotic power; nonlinear time series; Pitman asymptotic relative efficiency; threshold autoregressive model;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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