A low-dimension portmanteau test for non-linearity
A new test for non-linearity in the conditional mean is proposed using functions of the principal components of regressors. The test extends the non-linearity tests based on KolmogorovGabor polynomials (Thursby and Schmidt, 1977; Tsay, 1986; Tersvirta et al., 1993), but circumvents problems of high...
| Հիմնական հեղինակներ: | , |
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| Ձևաչափ: | Journal article |
| Հրապարակվել է: |
Elsevier
2010
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| _version_ | 1826293052022456320 |
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| author | Castle, J Hendry, D |
| author_facet | Castle, J Hendry, D |
| author_sort | Castle, J |
| collection | OXFORD |
| description | A new test for non-linearity in the conditional mean is proposed using functions of the principal components of regressors. The test extends the non-linearity tests based on KolmogorovGabor polynomials (Thursby and Schmidt, 1977; Tsay, 1986; Tersvirta et al., 1993), but circumvents problems of high dimensionality, is equivariant to collinearity, and includes exponential functions, so is a portmanteau test with power against a wide range of possible alternatives. A Monte Carlo analysis compares the performance of the test to the optimal infeasible test and to alternative tests. The relative performance of the test is encouraging: the test has the appropriate size and has high power in many situations. |
| first_indexed | 2024-03-07T03:24:08Z |
| format | Journal article |
| id | oxford-uuid:b870102f-f1d0-43bd-ac1a-97854da831fc |
| institution | University of Oxford |
| last_indexed | 2024-03-07T03:24:08Z |
| publishDate | 2010 |
| publisher | Elsevier |
| record_format | dspace |
| spelling | oxford-uuid:b870102f-f1d0-43bd-ac1a-97854da831fc2022-03-27T04:55:55ZA low-dimension portmanteau test for non-linearityJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:b870102f-f1d0-43bd-ac1a-97854da831fcSymplectic Elements at OxfordElsevier2010Castle, JHendry, DA new test for non-linearity in the conditional mean is proposed using functions of the principal components of regressors. The test extends the non-linearity tests based on KolmogorovGabor polynomials (Thursby and Schmidt, 1977; Tsay, 1986; Tersvirta et al., 1993), but circumvents problems of high dimensionality, is equivariant to collinearity, and includes exponential functions, so is a portmanteau test with power against a wide range of possible alternatives. A Monte Carlo analysis compares the performance of the test to the optimal infeasible test and to alternative tests. The relative performance of the test is encouraging: the test has the appropriate size and has high power in many situations. |
| spellingShingle | Castle, J Hendry, D A low-dimension portmanteau test for non-linearity |
| title | A low-dimension portmanteau test for non-linearity |
| title_full | A low-dimension portmanteau test for non-linearity |
| title_fullStr | A low-dimension portmanteau test for non-linearity |
| title_full_unstemmed | A low-dimension portmanteau test for non-linearity |
| title_short | A low-dimension portmanteau test for non-linearity |
| title_sort | low dimension portmanteau test for non linearity |
| work_keys_str_mv | AT castlej alowdimensionportmanteautestfornonlinearity AT hendryd alowdimensionportmanteautestfornonlinearity AT castlej lowdimensionportmanteautestfornonlinearity AT hendryd lowdimensionportmanteautestfornonlinearity |