A low-dimension portmanteau test for non-linearity
From MaRDI portal
Publication:736672
DOI10.1016/j.jeconom.2010.01.006zbMath1431.62346OpenAlexW2155507209WikidataQ30040003 ScholiaQ30040003MaRDI QIDQ736672
David F. Hendry, Jennifer L. Castle
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
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Related Items (4)
Quadratic prediction of time series via auto-cumulants ⋮ Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector ⋮ Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form ⋮ An Example of Instability: Discussion of the Paper by Søren Johansen and Bent Nielsen
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
- REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS
- Exogeneity
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- A Tukey nonadditivity-type test for time series nonlinearity
- Nonlinearity tests for time series
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A Consistent Conditional Moment Test of Functional Form
- Some Properties of Tests for Specification Error in a Linear Regression Model
- Dynamic Econometrics
- An introduction to hypergeometric functions for economists
- Maximum Likelihood Estimation of Misspecified Models
This page was built for publication: A low-dimension portmanteau test for non-linearity
