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Power Properties of Linearity Tests for Time Series

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Author Info
Timo Teräsvirta (Stockholm School of Economics)

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Abstract

This paper examines the power properties of several linearity tests applied in time-series analysis. The tests are the ones Lee et al.(1993) used in their Monte Carlo study. The main tool used for power comparisons in this paper is the Pitman asymptotic relative efficiency. The results generally strengthen the outcome of the simulations and complement some results in Lee et al. (1993). They also suggest guidelines for designing Monte Carlo experiments for linearity tests.

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Publisher Info
Article provided by Berkeley Electronic Press in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 1 (1996)
Issue (Month): 1 ()
Pages: 3-10
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Handle: RePEc:bep:sndecm:1:1996:1:3-10

Note: oai:bepress:snde-1008
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Related research
Keywords: Bilinear model local asymptotic power nonlinear time series Pitman asymptotic relative

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Saikkonen, Pentti, 1989. "Asymptotic relative efficiency of the classical test statistics under misspecification," Journal of Econometrics, Elsevier, vol. 42(3), pages 351-369, November. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Q. Farooq Akram & Øyvind Eitrheim & Lucio Sarno, 2005. "Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003," Working Paper 2005/2, Norges Bank. [Downloadable!]
  2. Tae-Hwy Lee, 2001. "Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 4(4), pages 1063-1063. [Downloadable!] (restricted)
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This page was last updated on 2008-11-19.

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