On Tests for Self‐Exciting Threshold Autoregressive‐Type Non‐Linearity in Partially Observed Time Series

Howell Tong and Iris Yeung

Journal of the Royal Statistical Society Series C, 1991, vol. 40, issue 1, 43-62

Abstract: We have adapted and extended the Petruccelli–Davies test, Petruccelli's test and Tsay's test for non‐linearity in time series to cope with partially observed series. The Kalman filtering algorithm is used in the estimation stage to realize the adaptation. Two of the adapted tests are checked with a Monte Carlo study and all three tests are applied to three real series from the financial world. The fine tuning achieved by allowing for closing date effects offers further insights.

Date: 1991
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