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Testing the assumption of Linearity

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Author Info
Theodore Panagiotidis () (Department of Economics & Finance, Brunel University)

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Abstract

The assumption of linearity is tested using five statistical tests for the US and the Canadian unemployment rates. An AR(p) model was used to remove any linear structure from the series. Strong evidence in favour of non-linearity was found in the case of Canada. The result for the US is not so clear cut.

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File URL: http://www.accessecon.com/pubs/EB/2002/Volume3/EB-02C20007A.pdf
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Publisher Info
Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 3 (2002)
Issue (Month): 29 ()
Pages: 1-9
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Handle: RePEc:ebl:ecbull:v:3:y:2002:i:29:p:1-9

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Related research
Keywords: non-linearity;

Find related papers by JEL classification:
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
C5 - Mathematical and Quantitative Methods - - Econometric Modeling

Statistics
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This page was last updated on 2010-1-6.

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