Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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A Consistent Test for Linearity for a Class of General First order Nonlinear Time Series

  • Hwang, Sun Y. (Department of Statistics, Sookmyung Women′s Univ.)
  • Published : 1998.12.01
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Abstract

Problem of testing linearity among general class of first order nonlinear time series models is discussed. The null hypotheses of linearity is identified via conditional expectations. A consistent test is then suggested and relevant limiting results are derived. It is worth indicating that any specific alternatives are not specified.

Keywords

References

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