Detecting non linearity a review

Guegan, Dominique

Statistique et analyse des données, Tome 15 (1990), p. 1-17 / Harvested from Numdam

Détail

Publié le : 1990-01-01

Bibliographie

Ashley R., Patterson D., Hinnich M. A. diagnostic test for non linearity serial dependence in time serial fitting errors. J.T.S.A. 7, n° 3, 165-178. (1986). | MR 857247 | Zbl 0596.62086

Brillinger D.R. An introduction to polyspectra. Ann Math. Stat. 36. 1351-1374. (1965). | MR 182109 | Zbl 0211.49904

Brock W.A., Dechert W.D. A general class of specification Tests : The scalar case. Proceedings of the business and Economic Statistics Section of the JASA. 70-79. (1988).

Brock W.A., Savers C.L. Is the business cycle characterized by deterministic chaos. Working paper 86-17 - Social Systems Research Institute. University of Wisconsin - Madinson. (1986).

Brock W.A., Dechert W.D., Scheinkman J.A. A test for independence based on the correlation dimension. Working paper. Economics Department, University of Wisconsin - Madinson. (1986). | Zbl 0893.62034

Brockett P.L., Hinnich H.J., Patterson D. Bispectral based tests for the detection of gaussianity and linearity in time Series. J. of Amer. Assoc. 83 (403) 657-664. (1988) . | Zbl 0649.62092

Chan K.S., Tong H. On tests for non linearity in time series Analysis. Journal of Forecasting 5. 217-228. (1986)

Chan. K.S., Tong H. On likelihood Ratio tests for threshold autogression. Technical Report. Institute of Mathematics. University of KENT. (1988). | Zbl 0706.62078

Chen Z.G. Towords new sketchs of hypothesis testing based on a.s. convergence. Worhshop on non linear time Series Analysis. Edinburg. July 1989. (1989)

Davies N., Petrucelli J.D. Detecting non linearity in time series. The statistician. 35. 271-280. (1986) .

Diebolt J. Testing the functions defining a nonlinear autoregressive time series. Tech. Report. L.S.T.A. Paris VI. 91. (1989) | MR 1075603 | Zbl 0704.62083

Ertel J.E., Fowkles E.B. Some algorithmes for linear spline and pieeewise multiple linear regression. J. Am. Statist. Assoc. 71. 640-648. (1976) | Zbl 0343.62058

Granger C.W.J., Andersen A.P. An introduction to bilinear time series models -Gottingern - Vandenhoeck and Ruporecht. (1978). | MR 483231 | Zbl 0379.62074

Granger C.W.J., Newbold P. Forecasting transformed data. J.R.S.S. Series B. 38. 184-203. (1976). | MR 445749 | Zbl 0344.62076

Guégan D. Tests de modèles non linéaires, in Proceedings of the 3rd France-Belgian meeting of Statisticians. Nov. 82. Bruxelles. 45-65. (1984). | MR 785944 | Zbl 0572.62071

Guégan D. Statistique des processus non linéaires. I. Classification des modèles. Prépublication Paris Nord. 89-15. (1989).

Guégan D., Pham T.D. Power of score tests against bilinear alternatives. Submitted to Statistica Sinica. (1989).

Hinnich M.J. Testing for gaussianity and linearity of a stationary time series. J. of Time Series Anal. 3.(3) 169-176. (1982). | MR 695228 | Zbl 0502.62079

Keenan D.M. A Tukey non additivity type test for time series non linearity. Biometrika. 72 (1) 39-44. (1985). | MR 790199 | Zbl 0562.62077

Li W.K. Discriminating Non linear Time Series Models Using a Bootstrupped Cox test. Workshop on non linear time series Analysis. Edinburg July 1989. (1989).

Luukkonen R., Saikkonen P., Terasvirta T. Testing linearity in univariate time series analysis. Scand. J. of Stat. 15. 161-175. ( 1988a). | MR 981162 | Zbl 0666.62089

Luukkonen R., Saikonen P., Terasvirta T. Testing linearity against smooth transition autoregressive models. Biometrika. 75 (3) 491-499. ( 1988b). | MR 967588 | Zbl 0657.62109

Luukonen R., Terasvirta T. Testing linearity of economics time series aganist cyclical asymmetry . Technical Report. n° 262. Research Institute of the Finish Economy. Helsinky. (1988).

Mcleod A.J., Li W.K. Diagnostic checking ARMA time series models using squared residual autocorrelations. J. of Time series Anal. 4 (4). 269-273. (1983). | MR 738587 | Zbl 0536.62067

Maravall A. : An application of non linear time series Forecasting - Journ. of Bus. and Econ. Stat. 1. 66-74. (1983).

Moenaddin R., Tong H. : A comparison of likelihood test and CUSUM test for threshold. The statistician. (1988).

Petruccelli J.D. : A comparison of tests for SETAR - type non linearity in time series. Journal of forecasting. 8. (1989).

Petruccelli J.D., Davies N. A portmanteau test for self-exciting threshold autoregressive - type non linearity in time series. Biometrika 73 (3). 687-694. (1986). | MR 897860 | Zbl 0612.62124

Ray D. Comparison of forecasts : an empirical investigation. Sankhya. 50. B. 258-277. (1988). | MR 1056463

Saikkonen P., Luukkonen R. Lagrange multiplier tests for testing non linearities in time series Models. Scand. J. Statist. 15. 55-68. (1988). | MR 967957 | Zbl 0649.62087

Scheinkman J.A., Le Baron B. Non linear dynamics and stock returns. Working paper. University of Chicago. (1986).

Subba Rao T., Gabr M.M. A test for linearity of stationary time series. J. of Time Series Analys. 1. (1). 145-157. (1980). | MR 622142 | Zbl 0499.62078

Terasvirta T. Testing linearity aganist smooth structural change. Working session on non linear time series Analysis. Edinburg. July 1989. (1989).

Tong H. Nonlinear time series. A dynamical system approach. Oxford Sciences Publications. (1990). | MR 1079320 | Zbl 0835.62076

Tsay R.S. Non linearity tests for time series. Biometrika. 73 (2). 461-466. (1986). | MR 855906 | Zbl 0603.62097

Tsay R.S. Testing and modelling threshold autoregressive processes. J. of the Amer. Stat. Assoc. 84 (405). 231-240. ( 1989a). | MR 999683 | Zbl 0683.62050

Tsay R.S. Non linear time series Analysis. Diagnostics and Modelling time series Workshop. IIASA - Madrid. Sept. 89. ( 1989b).

Weiss A.A. ARCH and bilinear terme series models : comparison and conbination. Journ. of Business and Economic Statistic. V.4. 59-70. (1986).