IDEAS home Printed from https://ideas.repec.org/a/ect/emjrnl/v5y2002i2p263-284.html
   My bibliography  Save this article

An investigation of tests for linearity and the accuracy of likelihood based inference using random fields

Author

Listed:
  • Christian M. Dahl

Abstract

We analyze the random field regression model approach recently suggested by Hamilton (2001, Econometrica, 69, 537--73). We show through extensive simulation studies that although the random field approach is indeed very closely related to the non-parametric spline smoother it seems to offer several advantages over the latter. First, tests for neglected nonlinearity based on Hamilton's random field approach seem to be more powerful than existing test statistics developed within the context of the multivariate spline smoother approach. Second, the convergence properties of the random field approach in limited samples appear to be significantly better than those of the multivariate spline smoother. Finally, when compared to the popular neural network approach the random field approach also performs very well. These results provide strong support for the view of Harvey and Koopman (2000, Econometrics Journal, 3, 84--107) that model-based kernels or splines have a sounder statistical justification than those typically used in non-parametric work. Copyright Royal Economic Society, 2002

Suggested Citation

  • Christian M. Dahl, 2002. "An investigation of tests for linearity and the accuracy of likelihood based inference using random fields," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 263-284, June.
    • Handle: RePEc:ect:emjrnl:v:5:y:2002:i:2:p:263-284
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Olivier Bonroy & Jean‐Philippe Gervais & Bruno Larue, 2007. "Are exports a monotonic function of exchange rate volatility? Evidence from disaggregated pork exports," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 40(1), pages 127-154, February.
    2. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2005. "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Trinity Economics Papers tep20021, Trinity College Dublin, Department of Economics.
    3. Chihwa Kao & Yongmiao Hong, 2004. "Detecting Neglected Nonlinearity in Dynamic Panel Data with Time-Varying Conditional Heteroskedasticity," Econometric Society 2004 Far Eastern Meetings 753, Econometric Society.
    4. repec:wyi:journl:002062 is not listed on IDEAS
    5. D H Kim, 2005. "Nonlinearity in the Term Structure," Centre for Growth and Business Cycle Research Discussion Paper Series 51, Economics, The University of Manchester.
    6. Hamilton, James D., 2003. "What is an oil shock?," Journal of Econometrics, Elsevier, vol. 113(2), pages 363-398, April.
    7. He, Jie & Richard, Patrick, 2010. "Environmental Kuznets curve for CO2 in Canada," Ecological Economics, Elsevier, vol. 69(5), pages 1083-1093, March.
    8. Tae-Hwy Lee & Zhou Xi & Ru Zhang, 2013. "Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks," Working Papers 201422, University of California at Riverside, Department of Economics, revised Apr 2012.
    9. Denise R. Osborn & Dong Heon Kim & Marianne Sensier, 2005. "Nonlinearity in the Fed's monetary policy rule," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(5), pages 621-639.
    10. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2006. "Purchasing Power Parity: The Irish Experience Re-visited," Trinity Economics Papers tep200615, Trinity College Dublin, Department of Economics.
    11. Pablo Gonzalez & Mauricio Tejada, 2006. "No linealidades en la regla de política monetaria del Banco Central de Chile: una evidencia empírica," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 21(1), pages 81-115, July.
    12. Dong Heon Kim, 2004. "Nonlinearity in the Term Structure," Econometric Society 2004 Far Eastern Meetings 440, Econometric Society.
    13. Dahl, Christian M. & Gonzalez-Rivera, Gloria, 2003. "Testing for neglected nonlinearity in regression models based on the theory of random fields," Journal of Econometrics, Elsevier, vol. 114(1), pages 141-164, May.
    14. Derek Bond & Michael J. Harrison & Niall Hession & Edward J. O'Brien, 2006. "Some Empirical Observations on the Forward Exchange Rate Anomaly," Trinity Economics Papers tep2006, Trinity College Dublin, Department of Economics.
    15. Huang, Ho-Chuan, 2005. "Diverging evidence of convergence hypothesis," Journal of Macroeconomics, Elsevier, vol. 27(2), pages 233-255, June.
    16. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2007. "Demand for Money: A Study in Testing Time Series for Long Memory and Nonlinearity," The Economic and Social Review, Economic and Social Studies, vol. 38(1), pages 1-24.
    17. D H Kim, 2004. "Nonlinearity in the Term Structure," Economics Discussion Paper Series 0401, Economics, The University of Manchester.
    18. Dahl, Christian M. & Hylleberg, Svend, 2004. "Flexible regression models and relative forecast performance," International Journal of Forecasting, Elsevier, vol. 20(2), pages 201-217.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ect:emjrnl:v:5:y:2002:i:2:p:263-284. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley-Blackwell Digital Licensing or Christopher F. Baum (email available below). General contact details of provider: https://edirc.repec.org/data/resssea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.