A simple additivity test for conditionally heteroscedastic nonlinear autoregression

In this article, we propose a test for the additivity of a nonlinear conditionally heteroscedastic autoregressive model. The test is based on the unequal variance unbalanced design ANOVA scheme. An asymptotic distribution of the test statistic is derived and the test performance in finite samples is studied using simulation. To the best of our knowledge, this is the first additivity test for a conditionally heteroscedastic time series model.

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Year of publication:	2012
Authors:	Levine, Michael ; Li, Jinguang
Published in:	Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 56.2012, 8, p. 2421-2429
Publisher:	Elsevier
Subject:	Nonlinear autoregressive model \| Additivity test \| Heteroscedasticity \| Unbalanced ANOVA with unequal variances

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010871458