Residual-based Inference for Common Nonlinear Features
2013 (English)Report (Other academic)
This paper investigates common nonlinear features in multivariate nonlinear autore-gressive models via testing the estimated residuals. A Wald-type test is proposed and itis asymptotically Chi-squared distributed. Simulation studies are given to examine thefinite-sample properties of the proposed test.
Place, publisher, year, edition, pages
Borlänge: Högskolan Dalarna , 2013.
Working papers in transport, tourism, information technology and microdata analysis, ISSN 1650-5581 ; 2013:09
Common features, Nonlinearity, Residual-based test
Probability Theory and Statistics
Research subject Komplexa system - mikrodataanalys
IdentifiersURN: urn:nbn:se:du-11872OAI: oai:DiVA.org:du-11872DiVA: diva2:606645