A low-dimension portmanteau test for non-linearity

A low-dimension portmanteau test for non-linearity

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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...

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Bibliografiske detaljer
Main Authors:	Castle, J, Hendry, D
Format:	Journal article
Udgivet:	Elsevier 2010

Lignende værker

A low-dimension portmanteau test for non-linearity.
af: Castle, J, et al.
Udgivet: (2010)

A low-dimension portmanteau test for non-linearity
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A Low-Dimension Collinearity-Robust Test for Non-linearity.
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A low-dimension collinearity-robust test for non-linearity
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Comparison of Some Portmanteau Tests by Using Simulation
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Generalized Portmanteau Tests Based on Subspace Methods
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Portmanteau Goodness-of-Fit Test for Asymmetric Power GARCH Models
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The Anterior-Passive Portmanteau Suffix in Tiania
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Portmanteau Test for ARCH-Type Models by Using High-Frequency Data
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Paramorfología y lexicogénesis: ¿un portmanteau imposible?
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ON THE PORTMANTEAU WORDS BASED ON COMMERCIAL NAMES IN CURRENT ROMANIAN ADVERTISING
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Automatic selection for non-linear models
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Udgivet: (2010)

Automatic Selection for Non-linear Models.
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Udgivet: (2009)

Automatic selection for non-linear models
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Udgivet: (2011)

Semi-automatic non-linear model selection,
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Udgivet: (2014)

Semi-automatic non-linear model selection
af: Castle, J, et al.
Udgivet: (2013)

Automatic selection for non-linear models
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Udgivet: (2011)

An Upside-Down World: “The Adventure of a Good Citizen” by Franciszka and Stefan Themerson as a Portmanteau Film
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Decentralisation – A Portmanteau Concept That Promises Much but Fails to Deliver?; Comment on “Decentralisation of Health Services in Fiji: A Decision Space Analysis”
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Quasi-maximum exponential likelihood estimator and portmanteau test of double AR(p) $\operatorname{AR}(p)$ model based on Laplace(a,b) $\operatorname{Laplace}(a,b)$
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Misspecification Testing: Non-Invariance of Expectations Models of Inflation
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Testing the invariance of expectations models of inflation
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Evaluating forecasts, narratives and policy using a test of invariance
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Modeling non-stationary ‘big data’
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Modelling non-stationary 'Big data'
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Udgivet: (2020)

Nearly optimal linear embeddings into very low dimensions
af: Grant, Elyot, et al.
Udgivet: (2018)

Testing the Invariance of Expectations Models of Inflation.
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The Non-m-Positive Dimension of a Positive Linear Map
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The non-linear dual gravity equation of motion in eleven dimensions
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Model Specification Tests against Non-Nested Alternatives: Comment.
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Udgivet: (1983)

Non-linear black holes in 2+1 dimensions as heat engines
af: Leonardo Balart, et al.
Udgivet: (2019-08-01)

A Tale of 3 Cities: Model Selection in Over-, Exact, and Under-specified Equations.
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Udgivet: (2010)

What a puzzle! Unravelling why UK Phillips curves were unstable
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A tale of 3 cities: model selection in over-, exact, and under-specified equations
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Evaluating Forecasts, Narratives and Policy Using a Test of Invariance
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Udgivet: (2017-09-01)

Testing linear-invariant non-linear properties: A short report
af: Bhattacharyya, Arnab, et al.
Udgivet: (2011)

Nowcasting from disaggregates in the face of location shifts
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Udgivet: (2010)

Model selection in under-specified equations facing breaks
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Udgivet: (2010)