1. Testing MSW type of nonlinearity using autocopulas
- Creator:
- Lenčuchová , Jana
- Format:
- bez média and svazek
- Type:
- model:article and TEXT
- Subject:
- Autocopulas, MSW model, testing linearity against nonlinearity, and testing remaining nonlinearity
- Language:
- English
- Description:
- Inspired by Rakonczai et al. [8], we use autocopulas for the testing of linearity against Markov-switching type of nonlinearity and remaining nonlinearity. They applied this autocopula approach to testing heteroscedasticity in AR-ARCH model. Given a strictly stationary time series Yt, a k-lag autocopula is a bivariate joint distribution function of the random vector (Yt, Yt-k). Our contribution is in extending the idea to test the linearity against Markov-switching type of nonlinearity and remaining nonlinearity [5,6] in order to avoid classical, time-consuming tests.
- Rights:
- http://creativecommons.org/publicdomain/mark/1.0/ and policy:public