Testing for Neglected Nonlinearity in Long-Memory Models
نویسندگان
چکیده
منابع مشابه
Testing for Neglected Nonlinearity in Long-Memory Models
This article constructs tests for the presence of nonlinearity of unknown form in addition to a fractionally integrated, long-memory component in a time series process. The tests are based on artificial neural network approximations and do not restrict the parametric form of the nonlinearity. Some theoretical results for the new tests are obtained, and detailed simulation evidence on the power ...
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The artificial neural network (ANN) test of Lee et al. (Journal of Econometrics 56, 269–290, 1993) uses the ability of the ANN activation functions in the hidden layer to detect neglected functional misspecification. As the estimation of the ANN model is often quite difficult, LWG suggested activate the ANN hidden units based on randomly drawn activation parameters. To be robust to the random a...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2007
ISSN: 0735-0015,1537-2707
DOI: 10.1198/073500106000000305