Testing for time series linearity
โ Scribed by David I. Harvey; Stephen J. Leybourne
- Book ID
- 110880047
- Publisher
- John Wiley and Sons
- Year
- 2007
- Tongue
- English
- Weight
- 196 KB
- Volume
- 10
- Category
- Article
- ISSN
- 1368-4221
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
We study the intervals of linearity for the regression function of stationary and strongly mixing vectorial-valued random processes, using nonlinear integral plug-in estimators of functionals of the second derivative of the regression function. We give conditions in order to obtain CLT, possibly deg
We have developed a new test for non-linearity in time series data in discrete time. A comparative study has been conducted on Subba Rao, Gabr and Hinich's test, Keenan's test, Petruccelli and Davies' test, and the new test. Both simulated and real data are used in the study. The implication for for