| PERCENTAGE POINTS AND POWER OF AK-S TYPE TEST FOR LINEARITY IN AUTOREGRESSIVE TIME SERIES |
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| 作者姓名： | 陈敏 吴国富 |
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| 作者单位： | University of Calgary，Calgary，Alberta，T2N 1N4，Canada) CHEN MIN ，WU GUOFU ， Academy of Mathemotics and System Sciences，Chinese Acodemy of Sciences，Beijing 100080，China) |
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| 基金项目： | a Grant from the Natural Sciences and Engineering Research Council of Canada.
This research is supported in part by the Nation |
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| 摘 要： | 1. IntroductionA Kolmogorov-Smirnov type test for linearity in autoregressive models has been con-sidered by An and Chengl']. They showed that the asymptotic null di8tribution of the teststati8tic is related to the supremum of the 8tandard Brownian motion. Their simulationshowed that the test was easy to conduct and more powerful than the tests of Hinich2],Keenanl3j, Tasyl4] and Chan and TOngl5]. However, the percentage points of the null dis-tribution of the test have not been tabulated…
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| 收稿时间： | 27 June 2000 |
Percentage points and power of a K-S type test for linearity in autoregressive time series |
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| Chen Gemai,Chen Min,Wu Guofu.PERCENTAGE POINTS AND POWER OF AK-S TYPE TEST FOR LINEARITY IN AUTOREGRESSIVE TIME SERIES[J].Acta Mathematicae Applicatae Sinica,2001,17(4):433-442. |
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| Authors: | Chen Gemai Chen Min Wu Guofu |
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| Institution: | (1) University of Calgary, T2N 1N4 Calgary, Alberta, Canada;(2) Academy of Mathematics and System Sciences, Chinese Academy of Sciences, 100080 Beijing, China |
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| Abstract: | The empirical upper percentage points of the null distribution of a Kolmogorov-Smirnov type test for checking linearity in autoregressive models are tabulated in this paper, and the good power property of the test is demonstrated. |
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| Keywords: | Kolmogorov-Smirnov type test linearity empirical upper percentage points Monte Carlo simulations |
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