Tong, Howell, 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. (doi:10.2307/2347904) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:22781)
| The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. | |
| 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 |
|---|---|
| DOI/Identification number: | 10.2307/2347904 |
| 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: | Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science |
| Depositing User: | P. Ogbuji |
| Date Deposited: | 29 Jun 2011 12:38 UTC |
| Last Modified: | 16 Nov 2021 10:01 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/22781 (The current URI for this page, for reference purposes) |
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