Francq, Christian and Horvath, Lajos and Zakoian, JeanMichel (2008): Suptests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space.

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Abstract
We consider linearity testing in a general class of nonlinear time series model of order 1, involving a nonnegative nuisance parameter which (i) is not identified under the null hypothesis and (ii) gives the linear model when equal to zero. This paper studies the asymptotic distribution of the Likelihood Ratio test and asymptotically equivalent supremum tests. The asymptotic distribution is described as a functional of chisquare processes and is obtained without imposing a positive lower bound for the nuisance parameter. The finite sample properties of the suptests are studied by simulations.
Item Type:  MPRA Paper 

Original Title:  Suptests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space 
Language:  English 
Keywords:  Diagnostic checking; Exponential autoregressive (EXPAR) model; Lagrange Multiplier (LM) tests; Least Squares Estimator; Likelihood Ratio (LR); Non Linear models; Supremum Tests; Smooth Transition Autoregressive (STAR); Threshold AR (TAR); Wald test 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General C  Mathematical and Quantitative Methods > C2  Single Equation Models; Single Variables > C22  TimeSeries Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models 
Item ID:  16669 
Depositing User:  Christian Francq 
Date Deposited:  10. Aug 2009 09:32 
Last Modified:  12. Feb 2013 00:42 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/16669 