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Re: TsayNLTest - Tsay's test for non-linearities in an autor
Posted: Mon Jan 03, 2011 12:07 pm
by spollard777
In using TsayNL, the m and l values are the same. Does l refer to the length of the delay? It is not clear why l and m are the same. In the multivariate case they seem to be allowed to be different as you have presented it.
Stephen Pollard
Re: TsayNLTest - Tsay's test for non-linearities in an autor
Posted: Tue Jan 04, 2011 9:57 am
by TomDoan
spollard777 wrote:In using TsayNL, the m and l values are the same. Does l refer to the length of the delay? It is not clear why l and m are the same. In the multivariate case they seem to be allowed to be different as you have presented it.
Stephen Pollard
There's no real sense of a "delay" in the Tsay test. Instead, it's a test between a linear AR and a non-linear version of the same set of regressors, hence it includes just the interaction terms between the original regressors. If you're looking for a test against STAR with a specific delay, use
STARTEST instead; the LST variant in
TSAYNLTEST is much less focused on such a specific alternative.
Re: TsayNLTest - Tsay's test for non-linearities in an autor
Posted: Tue Jan 04, 2011 12:32 pm
by spollard777
Thanks, the STARTEST is what I was looking for.
Stephen Pollard