✦ LIBER ✦
Nonlinear time series contiguous to AR(1) processes and a related efficient test for linearity
✍ Scribed by Sun Y. Hwang; I.V. Basawa
- Publisher
- Elsevier Science
- Year
- 2001
- Tongue
- English
- Weight
- 108 KB
- Volume
- 52
- Category
- Article
- ISSN
- 0167-7152
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✦ Synopsis
A class of nonlinear time series models contiguous to a ÿrst-order autoregressive process (AR(1)) is introduced. The local asymptotic normality of the log-likelihood ratio statistic for testing for linearity is established. An e cient test of linearity is then obtained and its asymptotic power function is derived. An extension to autoregressive conditionally heteroscedastic contiguous alternative models to AR(1) is also discussed and an e cient test of linearity is derived for this class also.