A Low-Dimension Portmanteau Test for Non-linearity
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of 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.
References listed on IDEAS
- 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.
- Kevin D. Hoover & Stephen J. Perez, "undated". "Data Mining Reconsidered: Encompassing And The General-To-Specific Approach To Specification Search," Department of Economics 97-27, California Davis - Department of Economics.
- Kevin Hoover & Stephen J. Perez, 2003. "Data Mining Reconsidered: Encompassing And The General-To-Specific Approach To Specification Search," Working Papers 9727, University of California, Davis, Department of Economics.
- Karim Abadir, 1999.
"An introduction to hypergeometric functions for economists,"
Econometric Reviews,
Taylor & Francis Journals, vol. 18(3), pages 287-330.
- Abadir, Karim, 1995. "An Introduction to Hypergeometric Functions for Economists," Discussion Papers 9510, Exeter University, Department of Economics.
- 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.
- Tom Doan, "undated". "REGWHITENNTEST: RATS procedure to perform White neural network test on regression," Statistical Software Components RTS00183, Boston College Department of Economics.
- Tom Doan, "undated". "REGRESET: RATS procedure to perform Ramsey RESET test on regression," Statistical Software Components RTS00181, Boston College Department of Economics.
- Bierens, Herman J, 1990.
"A Consistent Conditional Moment Test of Functional Form,"
Econometrica,
Econometric Society, vol. 58(6), pages 1443-1458, November.
- Bierens, H.J., 1989. "A consistent conditional moment test of functional form," Serie Research Memoranda 0064, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- 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.
- Teräsvirta, Timo, 1996. "Power Properties of Linearity Tests for Time Series," SSE/EFI Working Paper Series in Economics and Finance 94, Stockholm School of Economics.
- Spanos,Aris, 1986. "Statistical Foundations of Econometric Modelling," Cambridge Books, Cambridge University Press, number 9780521269124, May.
- White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
- 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.
- Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
- 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 291-324 National Bureau of Economic Research, Inc.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Stillwagon, Josh R., 2016.
"Non-linear exchange rate relationships: An automated model selection approach with indicator saturation,"
The North American Journal of Economics and Finance,
Elsevier, vol. 37(C), pages 84-109.
- Josh R. Stillwagon, 2014. "Non-Linear Exchange Rate Relationships: An Automated Model Selection Approach with Indicator Saturation," Working Papers 1405, Trinity College, Department of Economics.
- Jurgen A. Doornik, 2016. "An Example of Instability: Discussion of the Paper by Søren Johansen and Bent Nielsen," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(2), pages 357-359, June.
- Francisco Salas-Molina & Juan A. Rodr'iguez-Aguilar & Joan Serr`a & Montserrat Guillen & Francisco J. Martin, 2016. "Empirical analysis of daily cash flow time series and its implications for forecasting," Papers 1611.04941, arXiv.org, revised Jun 2017.
- 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.
- David Hendry, 2011. "Empirical Economic Model Discovery and Theory Evaluation," Economics Series Working Papers 529, University of Oxford, Department of Economics.
- repec:eee:intfor:v:34:y:2018:i:1:p:119-135 is not listed on IDEAS
- Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
- Josh R. Stillwagon, 2015. "TIPS and the VIX: Non-linear Spillovers from Financial Panic to Breakeven Inflation," Working Papers 1502, Trinity College, Department of Economics.
- Castle Jennifer L. & Doornik Jurgen A & Hendry David F., 2011.
"Evaluating Automatic Model Selection,"
Journal of Time Series Econometrics,
De Gruyter, vol. 3(1), pages 1-33, February.
- Jennifer Castle & David Hendry & Jurgen A. Doornik, 2010. "Evaluating Automatic Model Selection," Economics Series Working Papers 474, University of Oxford, Department of Economics.
- Anders Bredahl Kock & Timo Teräsvirta, 2010. "Forecasting with nonlinear time series models," CREATES Research Papers 2010-01, Department of Economics and Business Economics, Aarhus University.
- Anne Péguin-Feissolle & Bilel Sanhaji, 2015.
"Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix),"
Working Papers
halshs-01133751, HAL.
- Anne Péguin-Feissolle & Bilel Sanhaji, 2015. "Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)," AMSE Working Papers 1516, Aix-Marseille School of Economics, Marseille, France.
- David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2013.
"Model Selection in Equations with Many ‘Small’ Effects,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 75(1), pages 6-22, February.
- Jennifer Castle & David Hendry, 2011. "Model Selection in Equations with Many 'Small' Effects," Economics Series Working Papers 528, University of Oxford, Department of Economics.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2012. "Model Selection in Equations with Many 'Small' Effects," Working Paper series 53_12, Rimini Centre for Economic Analysis.
- Frank Asche, Atle Oglend, and Petter Osmundsen, 2017.
"Modeling UK Natural Gas Prices when Gas Prices Periodically Decouple from the Oil Price,"
The Energy Journal,
International Association for Energy Economics, vol. 0(Number 2).
- Asche, Frank & Osmundsen, Petter & Oglend, Atle, 2015. "Modeling UK Natural Gas Prices when Gas Prices Periodically Decouple from the Oil Price," UiS Working Papers in Economics and Finance 2015/4, University of Stavanger.
- Frank Asche & Atle Oglend & Petter Osmundsen, 2015. "Modeling UK Natural Gas Prices when Gas Prices Periodically Decouple from the Oil Price," CESifo Working Paper Series 5232, CESifo Group Munich.
- 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, vol. 17(1), pages 77-93, March.
- David Hendry & Jurgen A. Doornik, 2014. "Statistical Model Selection with 'Big Data'," Economics Series Working Papers 735, University of Oxford, Department of Economics.
- Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
- Shahid IQBAL & Maqbool H. SIAL, 2016. "Projections of Inflation Dynamics for Pakistan: GMDH Approach," Journal of Economics and Political Economy, KSP Journals, vol. 3(3), pages 536-559, September.
- Hendry, David F., 2018.
"Deciding between alternative approaches in macroeconomics,"
International Journal of Forecasting,
Elsevier, vol. 34(1), pages 119-135.
- David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
- Jahyun Koo & Ivan Paya & David A. Peel, 2012. "The Bank of Korea's nonlinear monetary policy rule," Applied Economics Letters, Taylor & Francis Journals, vol. 19(12), pages 1193-1202, August.
- Ericsson Neil R., 2016. "Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 377-398, September.
More about this item
Keywords
Functional form; Portmanteau test; Non-linearity; Principal components; Collinearity;JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2010-02-05 (All new papers)
- NEP-ECM-2010-02-05 (Econometrics)
- NEP-ETS-2010-02-05 (Econometric Time Series)
Statistics
Access and download statisticsCorrections
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: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: (Anne Pouliquen). General contact details of provider: http://edirc.repec.org/data/sfeixuk.html .
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.