| 基于Wild Bootstrap 非参数方法的AR模型线性检验 |
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| 引用本文： | 王敬勇.基于Wild Bootstrap 非参数方法的AR模型线性检验[J].吉首大学学报(自然科学版),2011,32(3):22-25. |
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| 作者姓名： | 王敬勇 |
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| 作者单位： | （铜陵学院经济贸易系，安徽 铜陵 244061） |
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| 摘 要： | 介绍了AR模型线性的非参数核检验统计量，并对检验统计量进行了检验水平和检验势的Wild Bootstrap模拟.模拟结果显示，非参数核检验统计量的Wild Bootstrap检验稳健性和可靠性都比渐近检验高，TAR与双线性AR模型比其他3种AR的检验势高.
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| 关 键 词： | Wild Bootstrap AR模型 检验水平 检验势 非线性 |
Wild Bootstrap Nonparametric Kernel Test for Linearity in AR Regression Models |
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| WANG Jing-yong.Wild Bootstrap Nonparametric Kernel Test for Linearity in AR Regression Models[J].Journal of Jishou University(Natural Science Edition),2011,32(3):22-25. |
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| Authors: | WANG Jing-yong |
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| Institution: | (Economics and Trade Department of Tongling University,Tongling 244061,Anhui China) |
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| 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. |
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| Keywords: | Wild Bootstrap AR model test size test power nonlinearity |
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