TESTING LINEARITY AND MODELING NONLINEAR TIME-SERIES

Authors
Citation
T. Terasvirta, TESTING LINEARITY AND MODELING NONLINEAR TIME-SERIES, Kybernetika, 30(3), 1994, pp. 319-330
Citations number
33
Categorie Soggetti
Controlo Theory & Cybernetics","Computer Science Cybernetics
Journal title
ISSN journal
00235954
Volume
30
Issue
3
Year of publication
1994
Pages
319 - 330
Database
ISI
SICI code
0023-5954(1994)30:3<319:TLAMNT>2.0.ZU;2-R
Abstract
This paper discusses some of the recent developments in testing linear ity of a time series against the alternative that the series has been generated by a nonlinear process. The focus is on testing linearity ag ainst parametric alternatives. Special attention is given to the situa tions in which the parametric nonlinear model only is identified under the alternative but not under the null hypothesis of linearity. The u se of some of the linearity tests in the modelling of nonlinear series is considered and illustrated with an example.