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Modelling Nonlinear Economic Time Series$
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Timo Teräsvirta, Dag Tjøstheim, and Clive W. J. Granger

Print publication date: 2010

Print ISBN-13: 9780199587148

Published to Oxford Scholarship Online: May 2011

DOI: 10.1093/acprof:oso/9780199587148.001.0001

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Nonparametric specification tests

Nonparametric specification tests

Chapter:
(p.113) 7 Nonparametric specification tests
Source:
Modelling Nonlinear Economic Time Series
Author(s):

Timo Teräsvirta

Dag Tjøstheim (Contributor Webpage)

W. J. Granger

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199587148.003.0007

It is described how nonparametric techniques can be used to test model specification. This is done by comparing nonparametrically estimated quantities with corresponding estimates using a specified parametric model; e.g. a linear model or an additive model. An important part of the model specification procedure is to select the time lags entering the model. This can be done parametrically using an Akaike type criterion, or nonparametrically, as illustrated in this chapter. Finally, for nonlinear models, using the correlation to test for independence is often misleading. Alternative techniques more suited to nonlinearity are described.

Keywords:   tests of linearity, other functional forms, selecting lags, tests of additivity, tests of independence

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