On the robustness of nonlinearity tests to moment condition failure

DOI10.1016/0304-4076(95)01791-7MaRDI QIDQ1362039zbMATH OpenOpenAlexFDO

Authors Pedro J. F. de Lima

Publication date 3 August 1997

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

Full work available at URL https://doi.org/10.1016/0304-4076(95)01791-7

zbMATH Keywords

misspecificationsimulation studyheavy-tailed distributionsstock returnsconditional variancenonexistence of momentsmoment condition failuretesting nonlinearities

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

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• A TEST FOR LINEARITY OF STATIONARY TIME SERIES
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• ARCH modeling in finance. A review of the theory and empirical evidence
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique
• Extremes and related properties of random sequences and processes
• Nonlinearity tests for time series
• Some Properties of Tests for Specification Error in a Linear Regression Model
• 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
• Testing linearity against smooth transition autoregressive models
• Time series: theory and methods.

Cited in

(14)

• A quantile-based test for symmetry of weakly dependent processes
• Time reversibility tests of volume-volatility dynamics for stock returns
• Time-irreversibility test for random-length time series: the matching-time approach applied to DNA
• A functional conditional symmetry test for a GARCH-SM model: Power asymptotic properties
• Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management
• Moment condition tests for heavy tailed time series
• Testing time reversibility without moment restrictions
• Testing asymmetry in financial time series
• Portmanteau tests for linearity of stationary time series
• Moment condition failure in stock returns: UK evidence
• Testing non-linearities in world stock market prices
• Estimation of the maximal moment exponent with censored data
• A nonparametric test of the mixture-of-distributions model
• Robust score and portmanteau tests of volatility spillover

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