Tong, H.W and Yeung, I. (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.
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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.
|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:||29 Jun 2011 12:38|
|Resource URI:||http://kar.kent.ac.uk/id/eprint/22781 (The current URI for this page, for reference purposes)|
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