Residual-based Inference for Common Nonlinear Features
| Data(s) |
2013
|
|---|---|
| Resumo |
This paper investigates common nonlinear features in multivariate nonlinear autore-gressive models via testing the estimated residuals. A Wald-type test is proposed and itis asymptotically Chi-squared distributed. Simulation studies are given to examine thefinite-sample properties of the proposed test. |
| Formato |
application/pdf |
| Identificador | |
| Idioma(s) |
eng |
| Publicador |
Högskolan Dalarna, Statistik Borlänge : Högskolan Dalarna |
| Relação |
Working papers in transport, tourism, information technology and microdata analysis, 1650-5581 ; 2013:09 |
| Direitos |
info:eu-repo/semantics/openAccess |
| Palavras-Chave | #Common features #Nonlinearity #Residual-based test |
| Tipo |
Report info:eu-repo/semantics/report text |
