A New Bispectral Test for NonLinear Serial Dependence

DOI10.1080/07474930802388090MaRDI QIDQ3615089zbMATH OpenOpenAlexFDO

Authors Elena Rusticelli, Richard A. Ashley, Estela Bee Dagum, Douglas M. Patterson

Publication date 17 March 2009

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474930802388090

zbMATH Keywords

bispectruminvariance propertylinear prefiltering proceduremaximization techniquenonlinearitysmoothing parameter

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

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Cites work

• A DIAGNOSTIC TEST FOR NONLINEAR SERIAL DEPENDENCE IN TIME SERIES FITTING ERRORS
• A nonlinear time series workshop. A toolkit for detecting and identifying nonlinear serial dependence
• A single-blind controlled competition among tests for nonlinearity and chaos
• A test for independence based on the correlation dimension
• A TEST FOR LINEARITY OF STATIONARY TIME SERIES
• An Introduction to Polyspectra
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 1168350 (Why is no real title available?)
• scientific article; zbMATH DE number 3354425 (Why is no real title available?)
• Linear Versus Nonlinear Macroeconomies: A Statistical Test
• TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests

Cited in

(8)

• Identification of DSGE models -- the effect of higher-order approximation and pruning
• Bispectral-based methods for clustering time series
• A Sequential and Iterative Testing Procedure to Identify the Nature of a Time Series Generating Process
• Detecting Nonlinearity in Time Series: Surrogate and Bootstrap Approaches
• A non-parametric test for non-independent noises against a bilinear dependence
• Falsifying ARCH/GARCH Models Using Bispectral Based Tests
• A DIAGNOSTIC TEST FOR NONLINEAR SERIAL DEPENDENCE IN TIME SERIES FITTING ERRORS
• A nonlinear time series workshop. A toolkit for detecting and identifying nonlinear serial dependence

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