Nonparametric bootstrap tests for neglected nonlinearity in time series regression models

Authors
Lee, TH Ullah, A
Citation
Th. Lee et A. Ullah, Nonparametric bootstrap tests for neglected nonlinearity in time series regression models, J NONPARA S, 13(3), 2001, pp. 425-451
Citations number
60
Categorie Soggetti
Mathematics
Journal title
JOURNAL OF NONPARAMETRIC STATISTICS
ISSN journal
10485252 → ACNP
Volume
13
Issue
3
Year of publication
2001
Pages
425 - 451
Database
ISI
SICI code
1048-5252(2001)13:3<425:NBTFNN>2.0.ZU;2-A
Abstract
Various nonparametric kernel regression estimators are presented, based on which we consider two nonparametric tests for neglected nonlinearity in tim e 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 tes t by Li and Wang(1998) and Zheng(1996). Bootstrap procedures are used for t hese tests and their performance is examined via monte carlo experiments, e specially with conditionally heteroskedastic errors.