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...

पूर्ण विवरण

ग्रंथसूची विवरण
मुख्य लेखकों: Castle, J, Hendry, D
स्वरूप: Journal article
प्रकाशित: Elsevier 2010

समान संसाधन