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The Specific Linearity Tests in Time Series

Ashraf Eata (Autor)

Buch | Softcover

132 Seiten

2017
Noor Publishing (Verlag)
978-3-330-84259-5 (ISBN)

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The generality of the general linearity tests has made them a popular tool for preliminary investigation and diagnostic checking in time series analysis. However, the general linearity tests do not indicate what kind of nonlinear parametric from the series should follow if they reject the null. On the other hand, the specific linearity tests reject the null in favor of the alternative model, which is well specified. This book is deals with study some of the specific linearity tests and investigate the possibility to find a specific linearity test that can use to accurately determinant the alternative nonlinear model and avoiding chose alternative nonlinear model other than the true DGP series generating from, in the case of rejecting the null model. If the specific linearity test has low power against other nonlinearities, it could incorrectly accept the null of the DGP is generated from linear series. LM test is discussed as the specific linearity test. To evaluate its performance as a general linearity test, a popular general linearity test, the BDS test, is introduced for comparison. Both power and size properties of the tests are investigated using Monte Carlo simulatio

Dr. Ashraf Eata is the Dean Assistant for Educational and Academic Affairs at College of Arts and Sciences, Prince Sattam Bin Abdolaziz University, KSA.Assistant Professor at Department of Applied Statistics & Insurance, Faculty of Commerce, Mansoura University, Egypt.PhD. & Master Degree in Statistics from Xiamen University, China.

Erscheinungsdatum	06.04.2017
Sprache	englisch
Maße	150 x 220 mm
Gewicht	213 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
Schlagworte	Arch • ARCHT • BDS • BL • BLT • Ear • EART • Estar • LM Test • LSTAR • Nonlinear models • Specific Linearity Tests • Star • Start • tar • Time Series
ISBN-10	3-330-84259-8 / 3330842598
ISBN-13	978-3-330-84259-5 / 9783330842595
Zustand	Neuware