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...
| Үндсэн зохиолчид: | , |
|---|---|
| Формат: | Journal article |
| Хэвлэсэн: |
Elsevier
2010
|