A Low-Dimension Portmanteau Test for Non-linearity

Jennifer L Castle, D. F. H. (2010). A Low-Dimension Portmanteau Test for Non-linearity.

Type

Unclassified

Intellectual base

Unclassified

Year

2010

DOI

10.1016/j.jeconom.2010.01.006

Link

https://doi.org/10.1016/j.jeconom.2010.01.006

Cited by

1 citation across 1 artifact.

Domain-specific

• Portmanteau test
  • … statistic sums squared residual autocorrelations across selected lags to test whether a time-series model has left serial dependence. to An analyst preselects lags, accounts for fitted parameters and follows rejection with targeted diagnostics rather than identifying a specific defect from the omnibus result..

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