A low-dimension portmanteau test for non-linearity

作者：Castle Jennifer L; Hendry David F^*

来源：Journal of Econometrics, 2010, 158(2): 231-245.

DOI：10.1016/j.jeconom.2010.01.006

• Functional form
• Portmanteau test
• Non-linearity
• Principal components
• Collinearity

A new test for non-linearity in the conditional mean is proposed using functions of the principal components of regressors. The test extends the non-linearity tests based on Kolmogorov-Gabor polynomials (Thursby and Schmidt, 1977; Tsay, 1986; Terasvirta et al., 1993), but circumvents problems of high dimensionality, is equivariant to collinearity, and includes exponential functions, so is a portmanteau test with power against a wide range of possible alternatives. A Monte Carlo analysis compares the performance of the test to the optimal infeasible test and to alternative tests. The relative performance of the test is encouraging: the test has the appropriate size and has high power in many situations.

• 出版日期2010-10