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Author : Timo Teräsvirta
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)
Download or read book Linearity and Misspecification Tests for Vector Smooth Transition Regression Models written by Timo Teräsvirta and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrés González
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Simulation-Based Finite Sample Linearity Test Against Smooth Transition Models written by Andrés González and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Jan G. De Gooijer
Publisher : Springer
ISBN 13 : 3319432524
Total Pages : 626 pages
Book Rating : 4.3/5 (194 download)
Download or read book Elements of Nonlinear Time Series Analysis and Forecasting written by Jan G. De Gooijer and published by Springer. This book was released on 2017-03-30 with total page 626 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : W. Kraemer
Publisher : Springer Science & Business Media
ISBN 13 : 3642958761
Total Pages : 195 pages
Book Rating : 4.6/5 (429 download)
Download or read book The Linear Regression Model Under Test written by W. Kraemer and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 . .
Author : Aris Spanos
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (36 download)
Download or read book Omitted Variables and Misspecification Testing Using Auxiliary Regressions written by Aris Spanos and published by . This book was released on 1985 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Daniele Massacci
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book A Simple Test for Linearity Against Exponential Smooth Transition Models with Endogenous Variables written by Daniele Massacci and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : James Bernard Ramsey
Publisher :
ISBN 13 :
Total Pages : 326 pages
Book Rating : 4.:/5 (89 download)
Download or read book Tests for Specification Errors in Classical Linear Least Squares Regression Analysis written by James Bernard Ramsey and published by . This book was released on 1968 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : José António Tenreiro Machado
Publisher : Springer Science & Business Media
ISBN 13 : 146140231X
Total Pages : 328 pages
Book Rating : 4.4/5 (614 download)
Download or read book Nonlinear and Complex Dynamics written by José António Tenreiro Machado and published by Springer Science & Business Media. This book was released on 2011-08-28 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author :
Publisher : SAGE Publications
ISBN 13 : 1544336586
Total Pages : 273 pages
Book Rating : 4.5/5 (443 download)
Download or read book Linear Regression written by and published by SAGE Publications. This book was released on 1993 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Least squares estimation.
Author : Rehim Kılıç
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Tests for Linearity in STAR Models written by Rehim Kılıç and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article investigates approximation and supremum approaches for testing linearity in smooth transition autoregressive (STAR) models. We show that since the approximation of STAR models by Taylor series expansions may not accurately describe the specific transition dynamic when the process is away from the null, LM-type tests may fail to detect the form of nonlinearity for which they are designed for. Investigating a supremum approach, the article provides the asymptotic distribution of a SupWald test that is obtained by taking the supremum of a Wald statistic over the Cartesian product of the spaces for the transition and threshold parameters. Simulated asymptotic critical values for the resulting tests are provided for a wide range of autoregressive orders and shown to differ across exponential and logistic STAR (ESTAR and LSTAR) models. Monte Carlo experiments show that SupWald tests for ESTAR and LSTAR models outperform LM-type tests, compares well relative to the recently developed score-based tests and each SupWald statistic performs the best against the true alternative for which it is formed. SupWald tests also provide results that are consistent with the findings from (independently) estimating and diagnostic testing of STAR models in real exchange rate data.
Author : X. R. Chen
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (227 download)
Download or read book Test of Linearity in General Regression Models written by X. R. Chen and published by . This book was released on 1986 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Linear regression models are widely used in statistical analysis of experimental and observational data. Usually the linearity of the model is merely an assumption and cannot be taken for granted. In some planned experiments, repeated measurements on the dependent variable Y can be taken while the independent variable X is held fixed. In such cases standard analysis-of-variance technique can be employed to generate a test for linearity. In many applications, however, the independent variable is observed simultaneously with Y. That is to say, X, as well as Y, is a random variable. Under such circumstances the usual method for testing linearity cannot supply. This paper studies this problem in large-sample context. The authors propose a method to test the linearity hypothesis based on a grouping of the data. The critical value of test-statistic is determined so that the test has a prescribed lever of significant alpha asymptotically as the sample size tends to infinity. The consistency of the test is established, and the asymptotic power is calculated when the distance (in some sense) between the true regression function and the space of linear functions tends to zero in some specific rate.
Author : Leena Kalliovirta
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (837 download)
Download or read book Comparison of Misspecification Tests Designed for Non-linear Time Series Models written by Leena Kalliovirta and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael H. Kutner
Publisher : McGraw-Hill/Irwin
ISBN 13 : 9780072386882
Total Pages : 1396 pages
Book Rating : 4.3/5 (868 download)
Download or read book Applied Linear Statistical Models written by Michael H. Kutner and published by McGraw-Hill/Irwin. This book was released on 2005 with total page 1396 pages. Available in PDF, EPUB and Kindle. Book excerpt: Linear regression with one predictor variable; Inferences in regression and correlation analysis; Diagnosticis and remedial measures; Simultaneous inferences and other topics in regression analysis; Matrix approach to simple linear regression analysis; Multiple linear regression; Nonlinear regression; Design and analysis of single-factor studies; Multi-factor studies; Specialized study designs.
Author : University of Guelph. Department of Economics
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (63 download)
Download or read book A Consistent Test for Linearity in Partially Linear Regression Models written by University of Guelph. Department of Economics and published by . This book was released on 1994 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jeffrey Racine
Publisher : Oxford University Press
ISBN 13 : 0199857954
Total Pages : 562 pages
Book Rating : 4.1/5 (998 download)
Download or read book The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics written by Jeffrey Racine and published by Oxford University Press. This book was released on 2013-12-31 with total page 562 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, edited by Jeffrey Racine, Liangjun Su, and Aman Ullah, contains the latest research on nonparametric and semiparametric econometrics and statistics. These data-driven models seek to replace the classical parametric models of the past, which were rigid and often linear. Chapters by leading international econometricians and statisticians highlight the interface between econometrics and statistical methods for nonparametric and semiparametric procedures. They provide a balanced view of new developments in the modeling of cross-section, time series, panel, and spatial data. Topics of the volume include: the methodology of semiparametric models and special regressor methods; inverse, ill-posed, and well-posed problems; methodologies related to additive models; sieve regression, nonparametric and semiparametric regression, and the true error of competing approximate models; support vector machines and their modeling of default probability; series estimation of stochastic processes and their application in Econometrics; identification, estimation, and specification problems in semilinear time series models; nonparametric and semiparametric techniques applied to nonstationary or near nonstationary variables; the estimation of a set of regression equations; and a new approach to the analysis of nonparametric models with exogenous treatment assignment.
Author : Maxwell L. King
Publisher :
ISBN 13 : 9780867465372
Total Pages : 89 pages
Book Rating : 4.4/5 (653 download)
Download or read book Testing for Autocorrelation in Linear Regression Models written by Maxwell L. King and published by . This book was released on 1983 with total page 89 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : M. Hashem Pesaran
Publisher :
ISBN 13 : 9780868311418
Total Pages : 10 pages
Book Rating : 4.3/5 (114 download)
Download or read book Tests of Non-nested Linear Regression Models Subject to Linear Restrictions written by M. Hashem Pesaran and published by . This book was released on 1986 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:
