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A low-dimension portmanteau test for non-linearity.

Abstract:

A new test for non-linearity in the conditional mean is proposed using functions of the principal components of regressors. The test extends the non-linearity tests based on KolmogorovGabor polynomials (Thursby and Schmidt, 1977; Tsay, 1986; Tersvirta et al., 1993), but circumvents problems of high dimensionality, is equivariant to collinearity, and includes exponential functions, so is a portmanteau test with power against a wide range of possible alternatives. A Monte Carlo analysis compare...

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Authors


Jennifer L. Castle More by this author
David F. Hendry More by this author
Journal:
Journal of Econometrics
Volume:
158
Issue:
2
Publication date:
2010
DOI:
URN:
uuid:63268858-ef6e-4569-aed4-c63ec6c942a2
Local pid:
oai:economics.ouls.ox.ac.uk:14905
Language:
English

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