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...
| Những tác giả chính: | , |
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| Định dạng: | Journal article |
| Được phát hành: |
Elsevier
2010
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