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Consistent testing for non-correlation of two cointegrated ARMA time series

โœ Scribed by Abdessamad Saidi

Publisher
John Wiley and Sons
Year
2007
Tongue
French
Weight
237 KB
Volume
35
Category
Article
ISSN
0319-5724

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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 Lik