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 Umeå University, Department of Economics in its series Umeå Economic Studies with number 405.
Length: 15 pages
Date of creation: 30 Aug 1997
Date of revision:
Publication status: Published in Communications in Statistics, Theory and Methods, 1998, pages 2025-2035.
Contact details of provider:
Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
Web page: http://www.econ.umu.se/
More information through EDIRC
Moving average process; Asymmetry; Nonlinearity; Lagrange multiplier test; Wald test; Monte Carlo.;
Other versions of this item:
- Brännäs, Kurt & Gooijer, Jan G. de & Teräsvirta, Timo, 1996. "Testing Linearity against Nonlinear Moving Average Models," Working Paper Series in Economics and Finance 95, Stockholm School of Economics.
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