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A comparison of tests for setar-type non-linearity in time series

✍ Scribed by Joseph D. Petruccelli

Publisher
John Wiley and Sons
Year
1990
Tongue
English
Weight
628 KB
Volume
9
Category
Article
ISSN
0277-6693

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✦ Synopsis

Tests for SETAR-type non-linearity in time series have recently been proposed by , W. S. Chan and Tong (1986, Luukkonen et a/. (1988 and . In this paper we consider the relative performance of these tests. KEY WORDS Non-linear time series SETAR-type non-linearity CUSUMS Lagrange-multiplier tests Likelihood ratio tests

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