A consistent nonparametric test for linearity of \(\text{AR} (p)\) models

DOI10.1016/S0165-1765(97)00054-2zbMath0895.90048MaRDI QIDQ1389742

Yanqin Fan, Q. Li

Publication date: 30 June 1998

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalitykernel estimationautoregressive modelabsolute regularityconsistent test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (8)

Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing ⋮ A dynamic factor approach to nonlinear stability analysis ⋮ Optimal Detection of Exponential Component in Autoregressive Models ⋮ Nonparametric bootstrap tests for neglected nonlinearity in time series regression models^∗ ⋮ Sizes of two bootstrap-based nonparametric specification tests for the drift function in continuous time models ⋮ NONPARAMETRIC TESTS OF MOMENT CONDITION STABILITY ⋮ Semiparametric methods in nonlinear time series analysis: a selective review ⋮ Central limit theorem for quadratic errors of Nadaraya-Watson regression estimator under dependence

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