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Testing for Non-Linear Dependence in Univariate Time Series An Empirical Investigation of the Austrian Unemployment Rate

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  • Koller, Wolfgang
  • Fischer, Manfred M.

Abstract

In recent years interest has been growing in testing for stochastic non-linearity in macroeconomic time series. There are several inference procedures available. But not much is known about their behaviour on real world small-sized settings. This paper surveys some of these tests. Their performance is compared using monthly Austrian unemployment data that cover the period January 1960 to December 1997. It is found that the test procedures surveyed are complementary rather than competing. Several useful guidelines are provided for applying the increasingly complex test procedures in practice.

Suggested Citation

  • Koller, Wolfgang & Fischer, Manfred M., 2001. "Testing for Non-Linear Dependence in Univariate Time Series An Empirical Investigation of the Austrian Unemployment Rate," MPRA Paper 77809, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:77809
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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