Linearity And Misspecification Tests For Vector Smooth Transition Regression Models
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Linearity And Misspecification Tests For Vector Smooth Transition Regression Models
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Author : Timo Teräsvirta
language : en
Publisher:
Release Date : 2014
Linearity And Misspecification Tests For Vector Smooth Transition Regression Models written by Timo Teräsvirta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Simulation Based Finite Sample Linearity Test Against Smooth Transition Models
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Author : Andrés González
language : en
Publisher:
Release Date : 2006
Simulation Based Finite Sample Linearity Test Against Smooth Transition Models written by Andrés González and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
In this paper, we use Monte Carlo (MC) testing techniques for testing linearity against smooth transition models. The MC approach allows us to introduce a new test that differs in two respects from the tests existing in the literature. First, the test is exact in the sense that the probability of rejecting the null when it is true is always less than or equal to the nominal size of the test. Secondly, the test is not based on an auxiliary regression obtained by replacing the model under the alternative by approximations based on a Taylor expansion. We also apply MC testing methods for size correcting the test proposed by Luukkonen, Saikkonen and Teräsvirta (Biometrika, Vol. 75, 1988, p. 491). The results show that the power loss implied by the auxiliary regression-based test is non-existent compared with a supremum-based test but is more substantial when compared with the three other tests under consideration.
Elements Of Nonlinear Time Series Analysis And Forecasting
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Author : Jan G. De Gooijer
language : en
Publisher: Springer
Release Date : 2017-03-30
Elements Of Nonlinear Time Series Analysis And Forecasting written by Jan G. De Gooijer and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-30 with Mathematics categories.
This book provides an overview of the current state-of-the-art of nonlinear time series analysis, richly illustrated with examples, pseudocode algorithms and real-world applications. Avoiding a “theorem-proof” format, it shows concrete applications on a variety of empirical time series. The book can be used in graduate courses in nonlinear time series and at the same time also includes interesting material for more advanced readers. Though it is largely self-contained, readers require an understanding of basic linear time series concepts, Markov chains and Monte Carlo simulation methods. The book covers time-domain and frequency-domain methods for the analysis of both univariate and multivariate (vector) time series. It makes a clear distinction between parametric models on the one hand, and semi- and nonparametric models/methods on the other. This offers the reader the option of concentrating exclusively on one of these nonlinear time series analysis methods. To make the book as user friendly as possible, major supporting concepts and specialized tables are appended at the end of every chapter. In addition, each chapter concludes with a set of key terms and concepts, as well as a summary of the main findings. Lastly, the book offers numerous theoretical and empirical exercises, with answers provided by the author in an extensive solutions manual.
The Linear Regression Model Under Test
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Author : W. Kraemer
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
The Linear Regression Model Under Test written by W. Kraemer and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
This monograph grew out of joint work with various dedicated colleagues and students at the Vienna Institute for Advanced Studies. We would probably never have begun without the impetus of Johann Maurer, who for some time was the spiritus rector behind the Institute's macromodel of the Austrian economy. Manfred Deistler provided sustained stimulation for our research through many discussions in his econometric research seminar. Similar credits are due to Adrian Pagan, Roberto Mariano and Garry Phillips, the econometrics guest professors at the Institute in the 1982 - 1984 period, who through their lectures and advice have contributed greatly to our effort. Hans SchneeweiB offered helpful comments on an earlier version of the manuscript, and Benedikt Poetscher was always willing to lend a helping . hand when we had trouble with the mathematics of the tests. Needless to say that any errors are our own. Much of the programming for the tests and for the Monte Carlo experiments was done by Petr Havlik, Karl Kontrus and Raimund Alt. Without their assistance, our research project would have been impossible. Petr Havlik and Karl Kontrus in addition. read and criticized portions of the manuscript, and were of great help in reducing our error rate. Many of the more theoretical results in this monograph would never have come to light without the mathematical expertise of Werner Ploberger, who provided most of the statistical background of the chapter on testing for structural change . .
Omitted Variables And Misspecification Testing Using Auxiliary Regressions
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Author : Aris Spanos
language : en
Publisher:
Release Date : 1985
Omitted Variables And Misspecification Testing Using Auxiliary Regressions written by Aris Spanos and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with categories.
A Simple Test For Linearity Against Exponential Smooth Transition Models With Endogenous Variables
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Author : Daniele Massacci
language : en
Publisher:
Release Date : 2017
A Simple Test For Linearity Against Exponential Smooth Transition Models With Endogenous Variables written by Daniele Massacci and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This paper proposes a test for linearity against exponential smooth transition models with endogenous right-hand-side variables: to the very best of our knowledge, this class of models is new to the literature. By Monte Carlo analysis the test is shown to have good finite sample properties.
Tests For Specification Errors In Classical Linear Least Squares Regression Analysis
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Author : James Bernard Ramsey
language : en
Publisher:
Release Date : 1968
Tests For Specification Errors In Classical Linear Least Squares Regression Analysis written by James Bernard Ramsey and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1968 with Economics, Mathematical categories.
Nonlinear And Complex Dynamics
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Author : José António Tenreiro Machado
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-08-28
Nonlinear And Complex Dynamics written by José António Tenreiro Machado and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-28 with Technology & Engineering categories.
Nonlinear Dynamics of Complex Systems describes chaos, fractal and stochasticities within celestial mechanics, financial systems and biochemical systems. Part I discusses methods and applications in celestial systems and new results in such areas as low energy impact dynamics, low-thrust planar trajectories to the moon and earth-to-halo transfers in the sun, earth and moon. Part II presents the dynamics of complex systems including bio-systems, neural systems, chemical systems and hydro-dynamical systems. Finally, Part III covers economic and financial systems including market uncertainty, inflation, economic activity and foreign competition and the role of nonlinear dynamics in each.
A Consistent Test For Linearity In Partially Linear Regression Models
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Author : University of Guelph. Department of Economics
language : en
Publisher:
Release Date : 1994
A Consistent Test For Linearity In Partially Linear Regression Models written by University of Guelph. Department of Economics and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with categories.
Analysis Of Tests For Two Forms Of Specification Error In Linear Regression Analysis
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Author : Ronald Loran Tracy
language : en
Publisher:
Release Date : 1975
Analysis Of Tests For Two Forms Of Specification Error In Linear Regression Analysis written by Ronald Loran Tracy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1975 with Regression analysis categories.