A test of linearity against functional coefficient autoregressive models

DOI10.1080/03610929908832437MaRDI QIDQ4935423zbMATH OpenOpenAlexFDO

Authors Yasumasa Matsuda

Publication date 1999

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929908832437

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• A diagnostic statistic for functional-coefficient autoregressive models
• A Test of Linearity for Functional Autoregressive Models
• A Tukey nonadditivity-type test for time series nonlinearity
• Comparing nonparametric versus parametric regression fits
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• Markov chains and stochastic stability
• Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
• Non-linear time series and Markov chains
• Nonlinearity tests for time series
• Nonparametric tests of linearity for time series
• Testing linearity against smooth transition autoregressive models
• Topics in Advanced Econometrics

Cited in

(1)

• Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks

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