Browsing by Subject "Linearity test"
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Article
A bootstrap test for time series linearity
(2010)A bootstrap algorithm is proposed for testing Gaussianity and linearity in stationary time series, and consistency of the relevant bootstrap approximations is proven rigorously for the first time. Subba Rao and Gabr (1980) ...
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Article
Dynamic misspecification in nonparametric cointegrating regression
(2012)Linear cointegration is known to have the important property of invariance under temporal translation. The same property is shown not to apply for nonlinear cointegration. The limit properties of the Nadaraya-Watson (NW) ...
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Article
Estimation of the bispectrum for locally stationary processes
(2014)We consider the problem of estimating the bispectrum of a locally stationary process. A nonparametric, lag-window type estimator is considered and its asymptotic properties are investigated. As a possible application, a ...