Robust and powerful tests for nonlinear deterministic components
We develop a test for the presence of nonlinear deterministic components in a univariate time series, approximated using a Fourier series expansion, designed to be asymptotically robust to the order of integration of the process and to any weak dependence present. Our approach is motivated by the Wa...
| Main Authors: | , , , |
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| Format: | Article |
| Published: |
Wiley
2014
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/32658/ |