Testing linearity against nonlinear moving average models

DOI10.1080/03610929808832207MaRDI QIDQ4213998zbMATH OpenOpenAlexFDO

Authors Kurt Brännäs, Jan G. De Gooijer, Timo Teräsvirta

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

asymmetryLagrange multiplier testMonte Carlomoving average processnonlinearityWald test

Mathematics Subject Classification ID

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

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(9)

• Tests of transformation in nonlinear regression
• Asymmetric vector moving average models: estimation and testing
• Testing for nonlinearity with partially observed time series
• A proposed methodology for the statistical hypotheses testing of the linear and non-linear restrictions in the multiplicative seasonal moving average models
• Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates
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• A note on testing for nonlinearity with partially observed time series
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