A COMPARISON OF TESTS FOR SETAR-TYPE NON-LINEARITY IN TIME-SERIES

被引：23

作者：

PETRUCCELLI, JD

机构：

[1] Worcester Polytechnic Institute, Worcester, Massachusetts

来源：

JOURNAL OF FORECASTING | 1990年 / 9卷 / 01期

关键词：

CUSUMS Lagrange‐multiplier tests; Likelihood ratio tests; Non‐linear time series; SETAR‐type non‐linearity;

D O I：

10.1002/for.3980090104

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Tests for SETAR‐type non‐linearity in time series have recently been proposed by Petruccelli and Davies (1986), W. S. Chan and Tong (1986), Tsay (1987), Luukkonen et al. (1988), Petruccelli (1987) and Moeanaddin and Tong (1988). In this paper we consider the relative performance of thes: tests. Copyright © 1990 John Wiley & Sons, Ltd.

引用

页码：25 / 36

页数：12

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