| Title:
|
Testing linearity and modelling nonlinear time series (English) |
| Author:
|
Teräsvirta, Timo |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
30 |
| Issue:
|
3 |
| Year:
|
1994 |
| Pages:
|
319-330 |
| . |
| Category:
|
math |
| . |
| MSC:
|
62M10 |
| idZBL:
|
Zbl 0809.62084 |
| idMR:
|
MR1291934 |
| . |
| Date available:
|
2009-09-24T18:48:00Z |
| Last updated:
|
2012-06-06 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/125164 |
| . |
| Reference:
|
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| Reference:
|
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| Reference:
|
[3] W. A. Brock D. A. Hsieh, B. LeBaron: Nonlinear Dynamics, Chaos and Instability: Statistical Theory and Economic Evidence.MIT Press, Cambridge, MA 1991. MR 1134654 |
| Reference:
|
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| Reference:
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| Reference:
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| Reference:
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| Reference:
|
[8] Ø. Eitrheim, T. Teräsvirta: Testing the adequacy of smooth transition autoregressive models.Working Paper, Bank of Norway 1993. |
| Reference:
|
[9] R. F. Engle: Wald, likelihood ratio, and Lagrange multiplier tests in econometrics.In: Handbook of Econometrics (Z. Griliches and M. D. Intriligator, eds.), Vol. 2, North-Holland, Amsterdam 1984, pp. 775-826. Zbl 0581.62094 |
| Reference:
|
[10] D. K. Ghaddar, H. Tong: Data transformation and self-exciting threshold autoregression.Appl. Statist. 30 (1981), 238-248. |
| Reference:
|
[11] L. G. Godfrey: Misspecification Tests in Econometrics.Cambridge University Press, Cambridge 1988. MR 1113260 |
| Reference:
|
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| Reference:
|
[13] V. Haggan, T. Ozaki: Modelling non-linear random vibrations using an amplitude-dependent autoregressive time series model.Biometrika 68 (1981), 189-196. MR 0614955 |
| Reference:
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[14] A. C. Harvey: The Econometric Analysis of Time Series.MIT Press, Cambridge, MA 1990. Zbl 0747.62113, MR 1085719 |
| Reference:
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[15] V. Hjellvik, D. Tjøstheim: Nonparametric tests of linearity for time series.Biometrika (to appear). MR 1354234 |
| Reference:
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[16] T. L. Lai, C. Z. Wei: Last squares estimates in stochastic regression models with application in identification and control of linear systems.Ann. Statist. 10 (1981), 154-166. MR 0642726 |
| Reference:
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[17] C.-F. J. Lin, T. Teräsvirta: Testing the constancy of regression parameters against continuous structural change.J. Econometrics 62 (1994), 211-228. |
| Reference:
|
[18] R. Luukkonen P. Saikkonen, T. Teräsvirta: Testing linearity in univariate time series models.Scand. J. Statist. 15 (1988), 161-175. MR 0981162 |
| Reference:
|
[19] R. Luukkonen P. Saikkonen, T. Teräsvirta: Testing linearity against smooth transition autoregressive models.Biometrika 75 (1988), 491-499. MR 0967588 |
| Reference:
|
[20] A. Pagan: Some simple tests for non-linear time series models.CORE Discussion Paper No. 7812, 1978. |
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[21] J. Petruccelli: On tests for SETAR-type nonlinearity in time series.J. Forecast. 9 (1990), 25-36. |
| Reference:
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[22] M. B. Priestley: Non-linear and Non-stationary Time Series Analysis.Academic Press, London -- San Diego 1988. |
| Reference:
|
[23] J. B. Ramsey: Tests for specification errors in classical linear least-squares regression analysis.J. Roy. Statist. Soc. Ser. B 31 (1969), 350-371. Zbl 0179.48902, MR 0290502 |
| Reference:
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[24] P. Saikkonen, R. Luukkonen: Lagrange multiplier tests for testing non-linearities in time series models.Scand. J. Statist. 15 (1988), 55-68. MR 0967957 |
| Reference:
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[25] T. Teräsvirta: Generalizing threshold and smooth transition autoregressive models.Unpublished manuscript, Bank of Norway 1993. |
| Reference:
|
[26] T. Teräsvirta: Specification, estimation, and evaluation of smooth transition autoregressive models.J. Amer. Statist. Assoc. 89 (1994), 208-218. |
| . |
