𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A consistent nonparametric test for nonlinear causality—Specification in time series regression

✍ Scribed by Yoshihiko Nishiyama; Kohtaro Hitomi; Yoshinori Kawasaki; Kiho Jeong


Book ID
113700316
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
391 KB
Volume
165
Category
Article
ISSN
0304-4076

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


Distribution-free strong consistency for
✍ Zudi Lu; Ping Cheng 📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 790 KB

Under quite mild conditions on the kernel and on the bandwidth, the distribution-free strong consistency is proved for the kernel regression and the modified kernel regression of an ~-mi×in~ stationary sequence in time series context. The condition imposed on the mixing coefficients ..... . l,, \~=~

A robust Cusum test for SETAR-type nonli
✍ Joseph D. Petruccelli; Alina Onofrei; Jayson D. Wilbur 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 116 KB

## 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