Testing for Non-linearity in Time Series Models
AbstractThis paper investigates whether or not the LM techniques proposed to test the null hypothesis of linearity against GARCH, bilinear (BL) and Joint GARCH-BL alternatives separately, have desirable finite sample properties. The result of a Monte carlo simulation study show that their sizes are close to the nominal level.
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Bibliographic InfoPaper provided by School of Economics, La Trobe University in its series Working Papers with number 1996.05.
Length: 14 pages
Date of creation: 1996
Date of revision:
Time Series; Economic Models;
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