Wild Bootstrap Nonparametric Kernel Test for Linearity in AR Regression Models

journal6 ›› 2011, Vol. 32 ›› Issue (3): 22-25.

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Wild Bootstrap Nonparametric Kernel Test for Linearity in AR Regression Models

(Economics and Trade Department of Tongling University,Tongling 244061,Anhui China)

Online:2011-05-25 Published:2012-04-08

Abstract

Abstract: This article considers Wild Bootstrap nonparametric kernel test for linearity in AR regression models,and examines finite sample performance:test size and test power.Simulation results show that test reliability and robustness of Wild Bootstrap is higher than asymptotic method,and test power of TAR and bilinear models is better than the others AR models.

Key words: Wild Bootstrap, AR model, test size, test power, nonlinearity

WANG Jing-Yong. Wild Bootstrap Nonparametric Kernel Test for Linearity in AR Regression Models[J]. journal6, 2011, 32(3): 22-25.

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Wild Bootstrap Nonparametric Kernel Test for Linearity in AR Regression Models

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