Chapter

Nonparametric specification tests

Timo Teräsvirta, Dag Tjøstheim and W. J. Granger

in Modelling Nonlinear Economic Time Series

Published in print December 2010 | ISBN: 9780199587148
Published online May 2011 | e-ISBN: 9780191595387 | DOI: http://dx.doi.org/10.1093/acprof:oso/9780199587148.003.0007

Series: Advanced Texts in Econometrics

Nonparametric specification tests

More Like This

Show all results sharing this subject:

  • Econometrics and Mathematical Economics

GO

Show Summary Details

Preview

It is described how nonparametric techniques can be used to test model specification. This is done by comparing nonparametrically estimated quantities with corresponding estimates using a specified parametric model; e.g. a linear model or an additive model. An important part of the model specification procedure is to select the time lags entering the model. This can be done parametrically using an Akaike type criterion, or nonparametrically, as illustrated in this chapter. Finally, for nonlinear models, using the correlation to test for independence is often misleading. Alternative techniques more suited to nonlinearity are described.

Keywords: tests of linearity; other functional forms; selecting lags; tests of additivity; tests of independence

Chapter.  23095 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

Full text: subscription required

How to subscribe Recommend to my Librarian

Buy this work at Oxford University Press »

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content.