On Tests for Self-Exciting Threshold Autoregressive-type Nonlinearity in Partially Observed Time-Series

Tong, Howell and Yeung, Iris (1991) On Tests for Self-Exciting Threshold Autoregressive-type Nonlinearity in Partially Observed Time-Series. Applied Statistics-Journal of the Royal Statistical Society Series C, 40 (1). pp. 43-62. ISSN 0035-9254. (The full text of this publication is not available from this repository)

The full text of this publication is not available from this repository. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.2307/2347904

Abstract

We have adapted and extended the Petruccelli-Davies test, Petruccelli's test and Tsay's test for non-linearity in time series to cope with partially observed series. The Kalman filtering algorithm is used in the estimation stage to realize the adaptation. Two of the adapted tests are checked with a Monte Carlo study and all three tests are applied to three real series from the financial world. The fine tuning achieved by allowing for closing date effects further insights.

Item Type: Article
Uncontrolled keywords: Hang Seng Index; Ibm Stock Price; Kalman Filter; Nonlinearity; Partial Observations; Petruccelli-Davies Test; Petruccelli Test; Self-Exciting Threshold Autoregression; Share Price; Tsay Test
Subjects: H Social Sciences > HA Statistics
Divisions: Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science > Statistics
Depositing User: P. Ogbuji
Date Deposited: 29 Jun 2011 12:38
Last Modified: 25 Jun 2014 09:35
Resource URI: http://kar.kent.ac.uk/id/eprint/22781 (The current URI for this page, for reference purposes)
  • Depositors only (login required):