Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models

Aman Ullah and Tae Hwy Lee

No 77, Working papers from Centre for Development Economics, Delhi School of Economics

Abstract: A unified framework for various nonparametric kernel regression estimators is presented, based on which we consider two nonparametric tests for neglected nonlinearity in time series regression models. One of them is the goodness-of-fit test of Cai, Fan, and Yao (2000) and another is the nonparametric conditional moment test by Li and Wang (1998) and Zheng (1996). Bootstrap procedures are used for these tests and their performance is examined via monte carlo experiments, especially with conditionally heteroskedastic errors.

Keywords: nonparametric test; nonlinearity; time series; functional-coefficient model; conditional moment test; naive bootstrap; wild bootstrap; conditional heteroskedasticity; GARCH; monte carlo. (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2000-03
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Citations: View citations in EconPapers (5)

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