Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests

DOI10.1016/0304-4076(93)90122-LzbMath0766.62055OpenAlexW2146904825MaRDI QIDQ1209888

Halbert White, Tae-Hwy Lee, Clive W. J. Granger

Publication date: 16 May 1993

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90122-l

zbMATH Keywords

Lagrange multiplier testthreshold autoregressivecomparison of testsKeenan testbispectrum testBrock-Dechert-Scheinkman testMcLeod-Li testneural network test for neglected nonlinearitynonlinear moving average modelsRamsey RESET testTsay testWhite dynamic information matrix test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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