A DIAGNOSTIC TEST FOR NONLINEAR SERIAL DEPENDENCE IN TIME SERIES FITTING ERRORS

Journal of Time Series Analysis

Volumn 7, Issue 3, 1986, Pages 165-178

  Ashley, Richard A ^a   Patterson, Douglas M ^a   Hinich, Melvin J ^b  

^a VIRGINIA POLYTECHNIC INSTITUTE AND STATE UNIVERSITY   (United States)

^b UNIVERSITY OF TEXAS AT AUSTIN   (United States)

Author keywords

bilinear models; Bispectrum; Gaussianity; independence; nonlinear moving average models; threshold autoregressive models

Indexed keywords

EID: 84986860173     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.1986.tb00500.x     Document Type: Article

References (16)

1. Asymptotic Theory of kth Order Spectra
2. A Study of the Application of StateDependent Models in Non‐Linear Time Series Analysis
3. Modelling Non‐linear Random Vibrations Using an Amplitudedependent Autoregressive Time Series Model
4. Testing for Gaussianity and Linearity of a Stationary Time Series
5. An Application of Non‐linear Time Series Forecasting
6. Non‐linear Threshold Autoregressive Models for Non‐linear Random Vibrations
7. State‐Dependent Models: A General Approach to Non‐Linear Time Series Analysis
8. The Estimation of a Non‐Linear Moving Average Model
9. On the Theory of Bilinear Time Series Models
10. Threshold Autoregression, Limit Cycles and Cyclical Data