Power Properties of Linearity Tests for Time Series
AbstractThis 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 InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 94.
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
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Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
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Bilinear model; local asymptotic power; nonlinear time series; Pitman asymptotic relative efficiency; threshold autoregressive model;
Other versions of this item:
- Teräsvirta Timo, 1996. "Power Properties of Linearity Tests for Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 1(1), pages 1-10, April.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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- Berg, Nathan, 2004. "No-decision classification: an alternative to testing for statistical significance," The Journal of Socio-Economics, Elsevier, vol. 33(5), pages 631-650, November.
- 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.
- Jennifer Castle & David Hendry, 2010. "A Low-Dimension Portmanteau Test for Non-linearity," Economics Series Working Papers 471, University of Oxford, Department of Economics.
- 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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