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Testing for Non-linearity in Time Series Models

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Author Info

  • A B M Rabiul Alam Beg

    (School of Economics, La Trobe University)

  • Param Silvapulle

    (School of Economics, La Trobe University)

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    Abstract

    This 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 Info

    Paper provided by School of Economics, La Trobe University in its series Working Papers with number 1996.05.

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    Length: 14 pages
    Date of creation: 1996
    Date of revision:
    Handle: RePEc:trb:wpaper:1996.05

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    Related research

    Keywords: Time Series; Economic Models;

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