A TEST FOR NON‐LINEARITY OF PREDICTION IN TIME SERIES

C. O'Brien

Journal of Time Series Analysis, 1987, vol. 8, issue 3, 313-327

Abstract: Abstract. A test for non‐linearity of prediction in time series is suggested; the test makes use of the partial correlation between a series and its square, eliminating linear terms. The distribution of partial correlation estimates is considered both theoretically and by simulation. Extensions of the test to include partial correlations with other nonlinear functions of the observed data are suggested. The nature of optimum predictors for some particular non‐linear time series is described, and the performance of the test when used with simulated non‐linear series is investigated.

Date: 1987
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1987.tb00444.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:8:y:1987:i:3:p:313-327

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().