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Testing Linearity against Nonlinear Moving Average Models

Author

Listed:
  • Brännäs, Kurt

    () (Department of Economics, Umeå University)

  • de Gooijer, Jan G.

    ()

  • Teräsvirta, Timo

    ()

Abstract

Lagrange 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.

Suggested Citation

  • Brännäs, Kurt & de Gooijer, Jan G. & Teräsvirta, Timo, 1997. "Testing Linearity against Nonlinear Moving Average Models," Umeå Economic Studies 405, Umeå University, Department of Economics.
  • Handle: RePEc:hhs:umnees:0405
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    Keywords

    Moving average process; Asymmetry; Nonlinearity; Lagrange multiplier test; Wald test; Monte Carlo.;

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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