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Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Test

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  • Philip Rothman

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  • Philip Rothman, "undated". "Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Test," Working Papers 9813, East Carolina University, Department of Economics.
    • Handle: RePEc:wop:eacaec:9813
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    File URL: http://www.ecu.edu/econ/wp/98/ecu9813.pdf
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    References listed on IDEAS

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    1. De Gooijer, Jan G., 1989. "Testing non-linearities in world stock market prices," Economics Letters, Elsevier, vol. 31(1), pages 31-35.
    2. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," The Journal of Business, University of Chicago Press, vol. 62(3), pages 311-337, July.
    3. Potter, Simon M, 1995. "A Nonlinear Approach to US GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 109-125, April-Jun.
    4. Clements, M.P. & Krolzig, H.-M., 1997. "A Comparison of the Forecasting Performance of Markov-Switching and Threshold Autoregressive Models of US GNP," The Warwick Economics Research Paper Series (TWERPS) 489, University of Warwick, Department of Economics.
    5. M. B. Priestley, 1980. "State‐Dependent Models: A General Approach To Non‐Linear Time Series Analysis," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 47-71, January.
    6. Michael P. Clements & Hans-Martin Krolzig, 1998. "A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 47-75.
    7. Maravall, Agustin, 1983. "An Application of Nonlinear Time Series Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(1), pages 66-74, January.
    8. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April.
    9. Melvin J. Hinich, 1982. "Testing For Gaussianity And Linearity Of A Stationary Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(3), pages 169-176, May.
    10. Richard A. Ashley & Douglas M. Patterson & Melvin J. Hinich, 1986. "A Diagnostic Test For Nonlinear Serial Dependence In Time Series Fitting Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(3), pages 165-178, May.
    11. Brock, W.A. & Dechert, W.D. & LeBaron, B. & Scheinkman, J.A., 1995. "A Test for Independence Based on the Correlation Dimension," Working papers 9520, Wisconsin Madison - Social Systems.
    12. Ramsey, James B & Rothman, Philip, 1996. "Time Irreversibility and Business Cycle Asymmetry," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 1-21, February.
    13. Rothman, P, 1992. "The Comparative Power of the TR Test against Simple Threshold Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages 187-195, Suppl. De.
    14. Philip Rothman, 1998. "Forecasting Asymmetric Unemployment Rates," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 164-168, February.
    15. Ramsey, James B. & Rothman, Philip, 1988. "Characterization Of The Time Irreversibility Of Economic Time Series: Estimators And Test Statistics," Working Papers 88-39, C.V. Starr Center for Applied Economics, New York University.
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    Cited by:

    1. Jorge Belaire-Franch & Dulce Contreras, 2004. "A power comparison among tests for time reversibility," Economics Bulletin, AccessEcon, vol. 3(23), pages 1-17.
    2. repec:ebl:ecbull:v:3:y:2004:i:23:p:1-17 is not listed on IDEAS
    3. Belaire-Franch, Jorge & Contreras, Dulce, 2003. "Tests for time reversibility: a complementarity analysis," Economics Letters, Elsevier, vol. 81(2), pages 187-195, November.
    4. Philip Rothman, 1999. "Time Irreversible Unemployment Rates," Working Papers 9903, East Carolina University, Department of Economics.

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