Arbeitspapier

Testing for neglected nonlinearity in long memory models

to connected objects

This paper constructs tests for the presence of nonlinearity of unknown form in addition to a fractionally integrated, long memory component in a time series process. The tests are based on artificial neural network structures and do not restrict the parametric form of the nonlinearity. The tests only require a consistent estimate of the long memory parameter. Some theoretical results for the new tests are obtained and detailed simulation evidence is also presented on the power of the tests. The new methodology is then applied to a wide variety of economic and financial time series.

Language: Englisch

Bibliographic citation: Series: Working Paper ; No. 528

Classification: Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Hypothesis Testing: General
Foreign Exchange

Subject: Long memory, Non-linearity, Artificial neural networks, Realized volatility, Absolute returns, Real exchange rates, Unemployment
Neuronale Netze
Zeitreihenanalyse
Nichtlineares Verfahren

Event: Geistige Schöpfung

(who): Baillie, Richard
Kapetanios, George

Event: Veröffentlichung

(who): Queen Mary University of London, Department of Economics

(where): London

(when): 2005

Handle: http://hdl.handle.net/10419/62810

Last update: 10.03.2025, 11:42 AM CET

Data provider

This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.

Show original at data provider

Object type

Arbeitspapier

Associated

Baillie, Richard
Kapetanios, George
Queen Mary University of London, Department of Economics

Time of origin

2005

Other Objects (12)

Testing for neglected nonlinearity in long memory models

Arbeitspapier

Testing for neglected nonlinearity in long memory models

Testing for neglected nonlinearity in cointegrating relationships

Arbeitspapier

Testing for neglected nonlinearity in cointegrating relationships

Testing for strict stationarity

Arbeitspapier

Testing for strict stationarity

Testing for ARCH in the presence of nonlinearity of unknow form in the conditional mean

Arbeitspapier

Testing for ARCH in the presence of nonlinearity of unknow form in the conditional mean

Nonlinear autoregressive models and long memory

Arbeitspapier

Nonlinear autoregressive models and long memory

Testing for exogeneity in nonlinear threshold models

Arbeitspapier

Testing for exogeneity in nonlinear threshold models

On testing for diagonality of large dimensional covariance matrices

Arbeitspapier

On testing for diagonality of large dimensional covariance matrices

A bootstrap invariance principle for highly nonstationary long memory processes

Arbeitspapier

A bootstrap invariance principle for highly nonstationary long memory processes

Testing for nonstationary long memory against nonlinear ergodic models

Arbeitspapier

Testing for nonstationary long memory against nonlinear ergodic models

Unit root testing against the alternative hypothesis of up to m structural breaks

Arbeitspapier

Unit root testing against the alternative hypothesis of up to m structural breaks

Testing for structural breaks in nonlinear dynamic models using artificial neural network approximations

Arbeitspapier

Testing for structural breaks in nonlinear dynamic models using artificial neural network approximations

A testing procedure for determining the number of factors in approximate factor models with large datasets

Arbeitspapier

A testing procedure for determining the number of factors in approximate factor models with large datasets

Testing for neglected nonlinearity in long memory models

Arbeitspapier

Testing for neglected nonlinearity in long memory models

Testing for neglected nonlinearity in cointegrating relationships

Arbeitspapier

Testing for neglected nonlinearity in cointegrating relationships

Testing for strict stationarity

Arbeitspapier

Testing for strict stationarity

Testing for ARCH in the presence of nonlinearity of unknow form in the conditional mean

Arbeitspapier

Testing for ARCH in the presence of nonlinearity of unknow form in the conditional mean

Nonlinear autoregressive models and long memory

Arbeitspapier

Nonlinear autoregressive models and long memory

Testing for exogeneity in nonlinear threshold models

Arbeitspapier

Testing for exogeneity in nonlinear threshold models

On testing for diagonality of large dimensional covariance matrices

Arbeitspapier

On testing for diagonality of large dimensional covariance matrices

A bootstrap invariance principle for highly nonstationary long memory processes

Arbeitspapier

A bootstrap invariance principle for highly nonstationary long memory processes

Testing for nonstationary long memory against nonlinear ergodic models

Arbeitspapier

Testing for nonstationary long memory against nonlinear ergodic models

Unit root testing against the alternative hypothesis of up to m structural breaks

Arbeitspapier

Unit root testing against the alternative hypothesis of up to m structural breaks

Testing for structural breaks in nonlinear dynamic models using artificial neural network approximations

Arbeitspapier

Testing for structural breaks in nonlinear dynamic models using artificial neural network approximations

A testing procedure for determining the number of factors in approximate factor models with large datasets

Arbeitspapier

A testing procedure for determining the number of factors in approximate factor models with large datasets

Testing for neglected nonlinearity in long memory models

Arbeitspapier

Testing for neglected nonlinearity in long memory models

Testing for neglected nonlinearity in cointegrating relationships

Arbeitspapier

Testing for neglected nonlinearity in cointegrating relationships

Testing for strict stationarity

Arbeitspapier

Testing for strict stationarity

Testing for ARCH in the presence of nonlinearity of unknow form in the conditional mean

Arbeitspapier

Testing for ARCH in the presence of nonlinearity of unknow form in the conditional mean

Nonlinear autoregressive models and long memory

Arbeitspapier

Nonlinear autoregressive models and long memory

Testing for exogeneity in nonlinear threshold models

Arbeitspapier

Testing for exogeneity in nonlinear threshold models

On testing for diagonality of large dimensional covariance matrices

Arbeitspapier

On testing for diagonality of large dimensional covariance matrices

A bootstrap invariance principle for highly nonstationary long memory processes

Arbeitspapier

A bootstrap invariance principle for highly nonstationary long memory processes

Testing for nonstationary long memory against nonlinear ergodic models

Arbeitspapier

Testing for nonstationary long memory against nonlinear ergodic models

Unit root testing against the alternative hypothesis of up to m structural breaks

Arbeitspapier

Unit root testing against the alternative hypothesis of up to m structural breaks

Testing for structural breaks in nonlinear dynamic models using artificial neural network approximations

Arbeitspapier

Testing for structural breaks in nonlinear dynamic models using artificial neural network approximations

A testing procedure for determining the number of factors in approximate factor models with large datasets

Arbeitspapier

A testing procedure for determining the number of factors in approximate factor models with large datasets

Cultural heritage institutions wishing to register will find more information here.

Fields marked * need to be filled in.

Username*

Please enter your username

Email*

Please enter your email address

Please do not fill this field

First name

Last name

Password*

Please enter your password

Confirm password*

Please enter the same password

I have read the terms of use and the privacy policy for the collection of personal data and accept them. *

This field is required.

I would like to subscribe to the newsletter of the Deutsche Digitale Bibliothek. See newsletter subscription info.

Account created

Your "My DDB" account has been successfully created. Before you can log in to your account, you must click the confirmation link in the message we just sent to the email address you provided.