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A simple additivity test for conditionally heteroscedastic nonlinear autoregression

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  • Levine, Michael
  • Li, Jinguang (Tony)

Abstract

In this article, we propose a test for the additivity of a nonlinear conditionally heteroscedastic autoregressive model. The test is based on the unequal variance unbalanced design ANOVA scheme. An asymptotic distribution of the test statistic is derived and the test performance in finite samples is studied using simulation. To the best of our knowledge, this is the first additivity test for a conditionally heteroscedastic time series model.

Suggested Citation

  • Levine, Michael & Li, Jinguang (Tony), 2012. "A simple additivity test for conditionally heteroscedastic nonlinear autoregression," Computational Statistics & Data Analysis, Elsevier, vol. 56(8), pages 2421-2429.
    • Handle: RePEc:eee:csdana:v:56:y:2012:i:8:p:2421-2429
    DOI: 10.1016/j.csda.2012.01.019
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    References listed on IDEAS

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    6. Lu, Zudi & Jiang, Zhenyu, 2001. "L1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term," Statistics & Probability Letters, Elsevier, vol. 51(2), pages 121-130, January.
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