Premium
A comparison of tests for setar‐type non‐linearity in time series
Author(s) -
Petruccelli Joseph D.
Publication year - 1990
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.3980090104
Subject(s) - setar , linearity , series (stratigraphy) , mathematics , statistics , econometrics , time series , autoregressive integrated moving average , engineering , star model , geology , electronic engineering , paleontology
Tests for SETAR‐type non‐linearity in time series have recently been proposed by Petruccelli and Davies (1986), W. S. Chan and Tong (1986), Tsay (1987), Luukkonen et al. (1988), Petruccelli (1987) and Moeanaddin and Tong (1988). In this paper we consider the relative performance of thes: tests.