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Power Properties of Linearity Tests for Time Series

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Author Info

  • Teräsvirta, Timo

    ()
    (Department of Economic Statistics)

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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Bibliographic Info

Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 94.

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Length: 15 pages
Date of creation: Jan 1996
Date of revision:
Publication status: Published in Studies in Nonlinear Dynamics and Econometrics, 1996, pages 3-10
Handle: RePEc:hhs:hastef:0094

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Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
Phone: +46-(0)8-736 90 00
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Web page: http://www.hhs.se/
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Related research

Keywords: Bilinear model; local asymptotic power; nonlinear time series; Pitman asymptotic relative efficiency; threshold autoregressive model;

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Cited by:
  1. Berg, Nathan, 2004. "No-decision classification: an alternative to testing for statistical significance," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 33(5), pages 631-650, November.
  2. Castle, Jennifer L. & Hendry, David F., 2010. "A low-dimension portmanteau test for non-linearity," Journal of Econometrics, Elsevier, vol. 158(2), pages 231-245, October.
  3. 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.

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