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A note on spurious nonlinear regression

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Author Info
O'Brien, Edward J.

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Abstract

This paper explores the power of two tests for nonlinearity against spurious nonlinear regression. Results show that while the BDS test is susceptible to spuriousness, an approach introduced by Peña and Rodriguez [Peña, D. and Rodriguez, J., 2005, Detecting nonlinearity in time series by model selection criteria, International Journal of Forecasting 21, 731-748.] is powerful, regardless of sample size.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4S08JS7-5/2/481e9d30788fcd9efe83d3f31c7496f1
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Publisher Info
Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 100 (2008)
Issue (Month): 3 (September)
Pages: 366-368
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Handle: RePEc:eee:ecolet:v:100:y:2008:i:3:p:366-368

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This page was last updated on 2009-12-12.

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