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On Data Transformations and Evidence of Nonlinearity

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Author Info
De Bruin, P.
Franses, P.H.

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Abstract

In this paper we examine the interaction between data transformation and the empirical evidence obtained when testing for (non-)linearity. For this purpose we examine nonlinear features in 64 monthly and 53 quarterly US macroeconomic variables for a range of Box-Cox data transformations. Our general finding is that evidence of nonlinearity is not independent of the data transformation. Results of simulation experiments substantiate this finding.

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Publisher Info
Paper provided by Erasmus University of Rotterdam - Econometric Institute in its series Papers with number 9823/a.

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Length: 18 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:fth:erroem:9823/a

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Related research
Keywords: LINEAR MODELS ; TESTS;

Find related papers by JEL classification:
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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  1. Paul De Bruin, Philip Hans Franses, 1999. "Forecasting power-transformed time series data," Journal of Applied Statistics, Taylor and Francis Journals, vol. 26(7), pages 807-815, September. [Downloadable!] (restricted)
Statistics
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This page was last updated on 2009-12-16.

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