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

Listed author(s):
  • Koller, Wolfgang
  • Fischer, Manfred M.

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.

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File URL: https://mpra.ub.uni-muenchen.de/77809/1/MPRA_paper_77809.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 77809.

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Date of creation: 2001
Publication status: Published in Networks and Spatial Economics 2.2(2002): pp. 191-209
Handle: RePEc:pra:mprapa:77809
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  1. Lumsdaine, Robin L. & Ng, Serena, 1999. "Testing for ARCH in the presence of a possibly misspecified conditional mean," Journal of Econometrics, Elsevier, vol. 93(2), pages 257-279, December.
  2. Barnett, William A. & Gallant, A. Ronald & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1997. "A single-blind controlled competition among tests for nonlinearity and chaos," Journal of Econometrics, Elsevier, vol. 82(1), pages 157-192.
  3. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April.
  4. Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," The Journal of Business, University of Chicago Press, vol. 62(3), pages 339-368, July.
  5. Enrique Sentana, 1995. "Quadratic ARCH Models," Review of Economic Studies, Oxford University Press, vol. 62(4), pages 639-661.
  6. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  7. Brock, W.A. & Dechert, W.D. & LeBaron, B. & Scheinkman, J.A., 1995. "A Test for Independence Based on the Correlation Dimension," Working papers 9520, Wisconsin Madison - Social Systems.
  8. Brock, William A. & Sayers, Chera L., 1988. "Is the business cycle characterized by deterministic chaos?," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 71-90, July.
  9. D. A. Peel & A. E. H. Speight, 1998. "The nonlinear time series properties of unemployment rates: some further evidence," Applied Economics, Taylor & Francis Journals, vol. 30(2), pages 287-294, February.
  10. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
  11. Craig, Steven G & Kohlhase, Janet E & Papell, David H, 1991. "Chaos Theory and Microeconomics: An Application to Model Specification and Hedonic Estimation," The Review of Economics and Statistics, MIT Press, vol. 73(2), pages 208-215, May.
  12. Granger, Clive W J, 1991. " Developments in the Nonlinear Analysis of Economic Series," Scandinavian Journal of Economics, Wiley Blackwell, vol. 93(2), pages 263-276.
  13. Burgess, Simon M, 1992. "Asymmetric Employment Cycles in Britain: Evidence and an Explanation," Economic Journal, Royal Economic Society, vol. 102(411), pages 279-290, March.
  14. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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