Testing linearity and modelling nonlinear time series

Teräsvirta, Timo

Kybernetika, Tome 30 (1994) no. 3, pp. 319-330

Détail

Classification : 62M10

Bibliographie

[1] J. Antoch, M. Hušková: Procedures for detection of multiple changes in series of independent observations. In: Proceedings of the Fifth Prague Symposiun on Asymptotic Statistics.

[2] G. E. P. Box, G. M. Jenkins: Time Series Analysis, Forecasting and Control. Holden-Day, San Francisco 1970. | MR | Zbl

[3] W. A. Brock D. A. Hsieh, B. LeBaron: Nonlinear Dynamics, Chaos and Instability: Statistical Theory and Economic Evidence. MIT Press, Cambridge, MA 1991. | MR

[4] R. L. Brown J. Durbin, J. M. Evans: Techniques for testing the constancy of regression relationships over time. J. Roy. Statist. Soc. Ser. B 37 (1975), 149-192. | MR

[5] K. S. Chan, H. Tong: On estimating thresholds in autoregressive models. J. Time Ser. Anal. 7 (1986), 179-194. | MR | Zbl

[6] R. B. Davies: Hypothesis testing when the nuisance parameter is only present under the alternative. Biometrika 64 (1977), 247-254. | MR

[7] R. B. Davies: Hypothesis testing when the nuisance parameter is only present under the alternative. Biometrika 74 (1987), 33-43. | MR

[8] Ø. Eitrheim, T. Teräsvirta: Testing the adequacy of smooth transition autoregressive models. Working Paper, Bank of Norway 1993.

[9] R. F. Engle: Wald, likelihood ratio, and Lagrange multiplier tests in econometrics. In: Handbook of Econometrics (Z. Griliches and M. D. Intriligator, eds.), Vol. 2, North-Holland, Amsterdam 1984, pp. 775-826. | Zbl

[10] D. K. Ghaddar, H. Tong: Data transformation and self-exciting threshold autoregression. Appl. Statist. 30 (1981), 238-248.

[11] L. G. Godfrey: Misspecification Tests in Econometrics. Cambridge University Press, Cambridge 1988. | MR

[12] C. W. J. Granger, T. Teräsvirta: Modelling Nonlinear Economic Relationships. Oxford University Press, Oxford 1993.

[13] V. Haggan, T. Ozaki: Modelling non-linear random vibrations using an amplitude-dependent autoregressive time series model. Biometrika 68 (1981), 189-196. | MR

[14] A. C. Harvey: The Econometric Analysis of Time Series. MIT Press, Cambridge, MA 1990. | MR | Zbl

[15] V. Hjellvik, D. Tjøstheim: Nonparametric tests of linearity for time series. Biometrika (to appear). | MR

[16] T. L. Lai, C. Z. Wei: Last squares estimates in stochastic regression models with application in identification and control of linear systems. Ann. Statist. 10 (1981), 154-166. | MR

[17] C.-F. J. Lin, T. Teräsvirta: Testing the constancy of regression parameters against continuous structural change. J. Econometrics 62 (1994), 211-228.

[18] R. Luukkonen P. Saikkonen, T. Teräsvirta: Testing linearity in univariate time series models. Scand. J. Statist. 15 (1988), 161-175. | MR

[19] R. Luukkonen P. Saikkonen, T. Teräsvirta: Testing linearity against smooth transition autoregressive models. Biometrika 75 (1988), 491-499. | MR

[20] A. Pagan: Some simple tests for non-linear time series models. CORE Discussion Paper No. 7812, 1978.

[21] J. Petruccelli: On tests for SETAR-type nonlinearity in time series. J. Forecast. 9 (1990), 25-36.

[22] M. B. Priestley: Non-linear and Non-stationary Time Series Analysis. Academic Press, London -- San Diego 1988.

[23] J. B. Ramsey: Tests for specification errors in classical linear least-squares regression analysis. J. Roy. Statist. Soc. Ser. B 31 (1969), 350-371. | MR | Zbl

[24] P. Saikkonen, R. Luukkonen: Lagrange multiplier tests for testing non-linearities in time series models. Scand. J. Statist. 15 (1988), 55-68. | MR

[25] T. Teräsvirta: Generalizing threshold and smooth transition autoregressive models. Unpublished manuscript, Bank of Norway 1993.

[26] T. Teräsvirta: Specification, estimation, and evaluation of smooth transition autoregressive models. J. Amer. Statist. Assoc. 89 (1994), 208-218.