A low-dimension portmanteau test for non-linearity

DOI10.1016/J.JECONOM.2010.01.006MaRDI QIDQ736672zbMATH OpenOpenAlexWikidataFDO

Authors Jennifer L. Castle, David F. Hendry

Publication date 4 August 2016

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

Full work available at URL https://ora.ox.ac.uk/objects/uuid:b870102f-f1d0-43bd-ac1a-97854da831fc

zbMATH Keywords

principal componentscollinearitynon-linearityfunctional formportmanteau test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• scientific article; zbMATH DE number 1168350 (Why is no real title available?)
• scientific article; zbMATH DE number 3287335 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• A Consistent Conditional Moment Test of Functional Form
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Tukey nonadditivity-type test for time series nonlinearity
• An introduction to hypergeometric functions for economists
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• Dynamic Econometrics
• Exogeneity
• Maximum Likelihood Estimation of Misspecified Models
• Nonlinearity tests for time series
• Power properties of linearity tests for time series
• Regression with slowly varying regressors and nonlinear trends
• Some Properties of Tests for Specification Error in a Linear Regression Model
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests

Cited in

(7)

• An example of instability: Discussion of the paper by Søren Johansen and Bent Nielsen
• On testing for nonlinearity in multivariate time series
• Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
• A Kernel Test for Neglected Nonlinearity
• Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form
• Non parametric portmanteau tests for detecting non linearities in high dimensions
• Quadratic prediction of time series via auto-cumulants

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Uses Software

• Ox

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