Bai, Zhidong and Hui, Yongchang and Wong, WingKeung (2012): New NonLinearity Test to Circumvent the Limitation of Volterra Expansion.
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Abstract
In this article we propose a quick, efficient, and easy method to detect whether a time series Yt possesses any nonlinear feature. The advantage of our proposed nonlinearity test is that it is not required to know the exact nonlinear features and the detailed nonlinear forms of Yt. Our proposed test could also be used to test whether the model, including linear and nonlinear, hypothesized to be used for the variable is appropriate as long as the residuals of the model being used could be estimated. Our simulation results show that our proposed test is stable and powerful while our illustration on Wolf's sunspots numbers is consistent with the findings from existing literature.
Item Type:  MPRA Paper 

Original Title:  New NonLinearity Test to Circumvent the Limitation of Volterra Expansion 
Language:  English 
Keywords:  linearity; nonlinearity; Ustatistics; Volterra expansion 
Subjects:  C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models; Multiple Variables > C32  TimeSeries Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C14  Semiparametric and Nonparametric Methods: General C  Mathematical and Quantitative Methods > C0  General > C01  Econometrics 
Item ID:  41872 
Depositing User:  WingKeung Wong 
Date Deposited:  11. Oct 2012 12:33 
Last Modified:  17. Feb 2013 23:39 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/41872 
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