A test of linearity against functional coefficient autoregressive models

DOI10.1080/03610929908832437zbMath1072.62634OpenAlexW2169987661MaRDI QIDQ4935423

Yasumasa Matsuda

Publication date: 1999

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929908832437

Mathematics Subject Classification ID

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

Related Items (1)

Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks

Cites Work

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• Markov chains and stochastic stability
• Comparing nonparametric versus parametric regression fits
• Non-linear time series and Markov chains
• A Tukey nonadditivity-type test for time series nonlinearity
• Nonlinearity tests for time series
• Testing linearity against smooth transition autoregressive models
• Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
• A diagnostic statistic for functional-coefficient autoregressive models
• Topics in Advanced Econometrics
• A Test of Linearity for Functional Autoregressive Models
• Nonparametric tests of linearity for time series

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