Testing linearity against nonlinear moving average models

DOI10.1080/03610929808832207zbMath0926.62076OpenAlexW2159723306MaRDI QIDQ4213998

Jan G. De Gooijer, Timo Teräsvirta, Kurt Brännäs

Publication date: 3 December 1998

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

Full work available at URL: https://doi.org/10.1080/03610929808832207

zbMATH Keywords

asymmetryMonte CarlononlinearityWald testmoving average processLagrange multiplier test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Related Items (1)

Asymmetric vector moving average models: estimation and testing

Cites Work

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• Testing linearity against smooth transition autoregressive models
• Recursive estimation of mixed autoregressive-moving average order
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative

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