Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 张立新博士 (统计学系) |
| 陈伟森教授 (金融学系) |
| 张绍洪教授 (统计学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1002/for.1122 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/3WOS source URL
其它资讯
摘要There has been growing interest in exploiting potential forecast gains from the nonlinear structure of self-exciting threshold autoregressive (SETAR) models. Statistical tests have been proposed in the literature to help analysts check for the presence of SETAR-type nonlinearities in observed time series. However, previous studies show that classical nonlinearity tests are not robust to additive outliers. In practice, time series Outliers are not uncommonly encountered. It is important to develop a more robust test for SETAR-type nonlinearity in time series analysis and forecasting. In this paper we propose a new robust nonlinearity test and the asymptotic null distribution of the test statistic is derived. A Monte Carlo experiment is carried out to compare the power of the proposed test with other existing tests under the influence of time series outliers. The effects of additive Outliers on nonlinearity tests with misspecification of the autoregressive order are also studied. The results indicate that the proposed method is preferable to the classical tests when the observations are contaminated with outliers. Finally, we provide illustrative examples by applying the statistical tests to three real datasets. Copyright (C) 2009 John Wiley & Sons, Ltd.
着者Hung KC, Cheung SH, Chan WS, Zhang LX
期刊名称Journal of Forecasting
出版年份2009
月份8
日期1
卷号28
期次5
出版社Wiley: 24 months
页次445 - 464
国际标準期刊号0277-669http://aims.cuhk.edu.hk/converis/portal/Publication/3
电子国际标準期刊号1099-1http://aims.cuhk.edu.hk/converis/portal/Publication/31X
语言英式英语
关键词additive outliers; GM estimation; nonlinearity tests; robustness; threshold time series
Web of Science 学科类别Business & Economics; Economics; ECONOMICS; Management; MANAGEMENT
