On Tests for Self-exciting Threshold Autoregressive-type Non-linearity in Partially Observed Time Series
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 43-62 |
| Journal / Publication | Journal of the Royal Statistical Society. Series C: Applied Statistics |
| Volume | 40 |
| Issue number | 1 |
| Publication status | Published - 1991 |
Link(s)
| DOI | DOI |
|---|---|
| Permanent Link | https://scholars.cityu.edu.hk/en/publications/publication(4736b1c8-2e13-4ed9-9bb3-4d0215753ec2).html |
Abstract
We have adapted and extended the Petruccelli-Davies test, Petruccelli's test and Tsay's test for non-linearity in time series to cope with partially observed series. The Kalman filtering algorithm is used in the estimation stage to realize the adaptation. Two of the adapted tests are checked with a Monte Carlo study and all three tests are applied to three real series from the financial world. The fine tuning achieved by allowing for closing date effects offers further insights.
Research Area(s)
- Hang Seng index, IBM stock price, Kalman filter, Non-linearity, Partial observations, Petruccelli-Davies test, Petruccelli's test, Self-exciting threshold autoregression, Share price, Tsay's test
Bibliographic Note
Research Unit(s) information for this publication is provided by the author(s) concerned.
Citation Format(s)
On Tests for Self-exciting Threshold Autoregressive-type Non-linearity in Partially Observed Time Series. / TONG, Howell; YEUNG, Iris.
In: Journal of the Royal Statistical Society. Series C: Applied Statistics, Vol. 40, No. 1, 1991, p. 43-62.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
