Testing Linearity against Nonlinear Moving Average Models
AbstractLagrange multiplier (LM) test statistics are derived for testing a linear moving average model against an asymmetric moving average model and an LM type test against an additive smooth transition moving average model. The latter model is introduced in the paper. The small sample performance of the proposed tests are evaluated in a Monte Carlo study and compared to Wald and likelihood ratio statistics. The size properties of the Lagrange multiplier test are better than those of other 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 95.
Length: 9 pages
Date of creation: Jan 1996
Date of revision:
Publication status: Published in Communications in Statistics, Theory and Methods, 1998, pages 2025-2035.
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More information through EDIRC
Moving average porcess; asummetry; nonlinearity; Lagrange multiplier test; Wald test; Monte Carlo;
Other versions of this item:
- Brännäs, Kurt & de Gooijer, Jan G. & Teräsvirta, Timo, 1997. "Testing Linearity against Nonlinear Moving Average Models," UmeÃ¥ Economic Studies 405, Umeå University, Department of Economics.
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