A simple additivity test for conditionally heteroscedastic nonlinear autoregression

Michael Levine and Li, Jinguang (Tony)

Computational Statistics & Data Analysis, 2012, vol. 56, issue 8, 2421-2429

Abstract: In this article, we propose a test for the additivity of a nonlinear conditionally heteroscedastic autoregressive model. The test is based on the unequal variance unbalanced design ANOVA scheme. An asymptotic distribution of the test statistic is derived and the test performance in finite samples is studied using simulation. To the best of our knowledge, this is the first additivity test for a conditionally heteroscedastic time series model.

Keywords: Nonlinear autoregressive model; Additivity test; Heteroscedasticity; Unbalanced ANOVA with unequal variances (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167947312000394
Full text for ScienceDirect subscribers only.

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:eee:csdana:v:56:y:2012:i:8:p:2421-2429

DOI: 10.1016/j.csda.2012.01.019

Access Statistics for this article

Computational Statistics & Data Analysis is currently edited by S.P. Azen

More articles in Computational Statistics & Data Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().