Power Properties of Linearity Tests for Time Series
Year of publication: |
1996-01
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Authors: | Teräsvirta, Timo |
Institutions: | Economics Institute for Research (SIR), Handelshögskolan i Stockholm |
Subject: | Bilinear model | local asymptotic power | nonlinear time series | Pitman asymptotic relative efficiency | threshold autoregressive model |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | Published in Studies in Nonlinear Dynamics and Econometrics, 1996, pages 3-10 The text is part of a series Working Paper Series in Economics and Finance Number 94 15 pages |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing |
Source: |
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Power Properties of Linearity Tests for Time Series
Timo Teräsvirta, (1996)
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Power Properties of Linearity Tests for Time Series
Teräsvirta, Timo, (2007)
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Péguin-Feissolle, Anne, (2007)
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