Comparison of LM Test, BDS Test & Specific (LM)Linearity Test in Time Series-Evaluating Asymptotic and Bootstrap Critical Values As a Methods for Size and Power

摘要：

In this paper, size and power comparison of five LM tests (two BLTs, the EART, the START, and the ARCHT) will be performed for different nonlinear models (BL, EAR, TAR, ESTAR, LSTAR and ARCH models) using asymptotic and bootstrap methods. Aiming to find out which method is more suitable. For comparison the general and specific linearity tests, the general linearity test (BDS test) is also included. We found that we should consider using bootstrap critical values rather than asymptotic critical values when : Sample size is less than 200;the autoregressive coefficient is near the unit circle;the linearity test is ARCHT or BDS. In addition, we found that the only advantage of the BDS test over an LM test is its generality.

关键词： LM Test BDS and Specific LM Linearity Test Comparison Analysis in Time Series, Evaluating Asymptotic and Bootstrap Critical Value

作者: Ashraf Fetoh Eata Zhengming Qian Ming Yang

作者单位: Department of Statistics, Xiamen University, Xiamen, China Department of Statistics,Xiamen University, Xiamen, China

会议类型: 国际会议

会议名称: The 5th International Conference on Cooperation and Promotion of Information Resources in Science and Technology(第五届科技信息资源共享促进国际会议COINFO10)

会议地点: 北京

会议语种:英文

页码: 308-314

在线出版日期: 2010-11-27（万方平台首次上网日期，不代表论文的发表时间）