✦ LIBER ✦

A Tukey Nonadditivity-Type Test for Time Series Nonlinearity

✍ Scribed by Daniel MacRae Keenan

Book ID: 124289471
Publisher: Oxford University Press
Year: 1985
Tongue: English
Weight: 666 KB
Volume: 72
Category: Article
ISSN: 0006-3444
DOI: 10.2307/2336333

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

A robust Cusum test for SETAR-type nonli

A robust Cusum test for SETAR-type nonlinearity in time series

✍ 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

On a robust test for SETAR-type nonlinea

On a robust test for SETAR-type nonlinearity in time series analysis

✍ King Chi Hung; Siu Hung Cheung; Wai-Sum Chan; Li-Xin Zhang 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 175 KB 👁 1 views

## Abstract There has been growing interest in exploiting potential forecast gains from the nonlinear structure of self‐exciting threshold autoregressive (SETAR) models. Statistical tests have been proposed in the literature to help analysts check for the presence of SETAR‐type nonlinearities in ob

A Portmanteau Test for Self-Exciting Thr

A Portmanteau Test for Self-Exciting Threshold Autoregressive-Type Nonlinearity in Time Series

✍ Joseph D. Petruccelli and Neville Davies 📂 Article 📅 1986 🏛 Oxford University Press 🌐 English ⚖ 910 KB

A Bayesian threshold nonlinearity test f

A Bayesian threshold nonlinearity test for financial time series

✍ Mike K. P. So; Cathy W. S. Chen; Ming-Tien Chen 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 136 KB 👁 1 views

We propose in this paper a threshold nonlinearity test for financial time series. Our approach adopts reversible-jump Markov chain Monte Carlo methods to calculate the posterior probabilities of two competitive models, namely GARCH and threshold GARCH models. Posterior evidence favouring the thresho

Information theoretic test for nonlinear

Information theoretic test for nonlinearity in time series

✍ Milan Paluš; Vladimír Albrecht; Ivan Dvořák 📂 Article 📅 1993 🏛 Elsevier Science 🌐 English ⚖ 638 KB

Testing Time Series for Nonlinearity

✍ Michael Small; Kevin Judd; Alistair Mees 📂 Article 📅 2001 🏛 Springer US 🌐 English ⚖ 232 KB