In this paper a procedure for testing additivity in nonlinear time series analysis is provided. The method is based on: Generalized Likelihood Ratio Test(Zhang, 2001), Volterra expansion (Chen et al., 1995), and nonparametric conditional bootstrap (Jianqing and Qiwei, 2003). Investigations about performance (in terms of empirical size and power), and comparisons with other additivity tests proposed by Chen et al. (1995), are made recurring to Monte Carlo simulations.
|Numero di pagine||12|
|Rivista||Statistics in Transition|
|Stato di pubblicazione||Pubblicato - 2009|
- Additive models
- Generalized Likelihood Ratio Test