Testing Linearity against a Univariate TAR Specification in Time Series with Missing Data Sobre una prueba de linealidad en presencia de datos faltantes contra la alternativa de no linealidad especificada por un modelo TAR

Testing Linearity against a Univariate TAR Specification in Time Series with Missing Data Sobre una prueba de linealidad en presencia de datos faltantes contra la alternativa de no linealidad especificada por un modelo TAR

Nowadays, procedures for testing the null hypothesis of linearity of a (univariate or multivariate) stochastic process are well known, almost all of them based on the assumption that their paths (i.e. observed time series) are complete. This paper describes an approach for testing this null hypothes...

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Bibliographic Details
Main Authors: MILENA HOYOS, FABIO H. NIETO
Format: Article
Language:English
Published: Universidad Nacional de Colombia 2011-01-01
Series:Revista Colombiana de Estadística
Subjects:
datos faltantes
modelos autoregresivos de umbrales
prueba de linealidad
series de tiempo no linales
Linearity test
Missing data
Nonlinear time series
Threshold autoregressive model
Online Access:http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0120-17512011000100004

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http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0120-17512011000100004

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