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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Dettagli Bibliografici
Autori principali:	Castle, J, Hendry, D
Natura:	Journal article
Pubblicazione:	Elsevier 2010

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