Testing for dependence in the input to a linear time series model

DOI10.1080/10485259608832672zbMATH Open0879.62081OpenAlexW2079433491MaRDI QIDQ4345896FDOQ4345896

Authors: Melvin J. Hinich 

Publication date: 16 December 1997

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485259608832672

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zbMATH Keywords

asymptotic propertiesconsistent testbicovariancesnon Gaussian data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Cites Work

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• On the Statistical Treatment of Linear Stochastic Difference Equations
• A NEW DIAGNOSTIC TEST OF MODEL INADEQUACY WHICH USES THE MARTINGALE DIFFERENCE CRITERION
• Consistent Nonparametric Entropy-Based Testing
• On Stochastic Limit and Order Relationships
• A DIAGNOSTIC TEST FOR NONLINEAR SERIAL DEPENDENCE IN TIME SERIES FITTING ERRORS
• NONPARAMETRIC TESTS FOR SERIAL DEPENDENCE
• TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES

Cited In (10)

• Model validation and order selection for linear model fitting using third- and fourth-order cumulants
• Computing stock price comovements with a three-regime panel smooth transition error correction model
• A robust whiteness test for the identification of discrete-time linear models: use of orthonormal transfer functions
• A single-blind controlled competition among tests for nonlinearity and chaos
• TESTING FOR LINEAR DEPENDENCE IN HEAVY-TAILED DATA
• A DIAGNOSTIC TEST FOR NONLINEAR SERIAL DEPENDENCE IN TIME SERIES FITTING ERRORS
• Detecting and modeling nonlinearity in the gas furnace data
• Nonlinearity, cyclicity, and persistence in consumption and income relationships: research in honor of Melvin J. Hinich
• NONLINEARITY IN THE CANADIAN AND U.S. LABOR MARKETS: UNIVARIATE AND MULTIVARIATE EVIDENCE FROM A BATTERY OF TESTS
• Episodic nonlinearity in leading global currencies

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