Journal article
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 compares the performance of the test to the optimal infeasible test and to alternative tests. The relative performance of the test is encouraging: the test has the appropriate size and has high power in many situations.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
Access Document
- Files:
-
-
(Preview, Accepted manuscript, pdf, 269.2KB, Terms of use)
-
- Publisher copy:
- 10.1016/j.jeconom.2010.01.006
Authors
- Publisher:
- Elsevier
- Journal:
- Journal of Econometrics More from this journal
- Issue:
- 2
- Publication date:
- 2010-01-18
- DOI:
- ISSN:
-
0304-4076
- Keywords:
- Pubs id:
-
pubs:301680
- UUID:
-
uuid:b870102f-f1d0-43bd-ac1a-97854da831fc
- Local pid:
-
pubs:301680
- Source identifiers:
-
301680
- Deposit date:
-
2016-12-16
- ARK identifier:
Terms of use
- Copyright holder:
- Elsevier
- Copyright date:
- 2010
- Notes:
- © 2010 Elsevier B.V. All rights reserved. This is the accepted manuscript version of the article. The final version is available online from Elsevier at: https://doi.org/10.1016/j.jeconom.2010.01.006.
If you are the owner of this record, you can report an update to it here: Report update to this record