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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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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Accepted manuscript

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Publisher copy:
10.1016/j.jeconom.2010.01.006

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Department:
Oxford, SSD, Economics
Role:
Author
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Department:
Oxford, SSD, Economics, EMOD
Role:
Author
Publisher:
Elsevier Publisher's website
Journal:
Journal of Econometrics Journal website
Issue:
2
Publication date:
2010-01-18
DOI:
ISSN:
0304-4076
Pubs id:
pubs:301680
URN:
uri:b870102f-f1d0-43bd-ac1a-97854da831fc
UUID:
uuid:b870102f-f1d0-43bd-ac1a-97854da831fc
Local pid:
pubs:301680

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