Testing for co-non-linearity
This article introduces the concept of co-non-linearity. Co-non-linearity is an example of a common feature in time series (Engle and Koziciki, 1993, J. Bus. Econ. Statist.) and an extension of the concept of common nonlinear components (Anderson and Vahid, 1998, J. Econometrics). If some time series follow a non-linear process but there exists a linear relationship between the levels of these series that removes the non-linearity, then this relationship is said to be a co-non-linear relationship. In this article I show how to determine the number of such co-non-linear relationships. Furthermore, I show how to formulate hypothesis tests on the co-non-linear relationships in a full maximum likelihood framework.
|Date of creation:||Jul 2012|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (+47) 21 09 00 00
Fax: (+47) 21 09 49 73
Web page: http://www.ssb.no/en/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- González, Andrés & Teräsvirta, Timo, 2006.
"Modelling autoregressive processes with a shifting mean,"
SSE/EFI Working Paper Series in Economics and Finance
637, Stockholm School of Economics, revised 22 May 2007.
- González Andrés & Teräsvirta Timo, 2008. "Modelling Autoregressive Processes with a Shifting Mean," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-28, March.
- Timo Terasvirta & Andrés González, . "Modelling autoregressive processes with a shifting mean," Borradores de Economia 420, Banco de la Republica de Colombia.
- Timo Terasvirta & Andrés González, 2006. "Modelling autoregressive processes with a shifting mean," BORRADORES DE ECONOMIA 003230, BANCO DE LA REPÚBLICA.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Terasvirta, Timo & Tjostheim, Dag & Granger, Clive W. J., 2010. "Modelling Nonlinear Economic Time Series," OUP Catalogue, Oxford University Press, number 9780199587155, March.
- H. Peter Boswijk & Jurgen A. Doornik, 2004.
"Identifying, estimating and testing restricted cointegrated systems: An overview,"
Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 440-465.
- H. Peter Boswijk & Jurgen Doornik, 2003. "Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview," Economics Papers 2003-W10, Economics Group, Nuffield College, University of Oxford.
- Jurgen Doornik & H. Peter Boswijk, 2003. "Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview," Economics Series Working Papers 2003-W10, University of Oxford, Department of Economics.
- Anderson, Heather M. & Vahid, Farshid, 1998. "Testing multiple equation systems for common nonlinear components," Journal of Econometrics, Elsevier, vol. 84(1), pages 1-36, May.
- Durbin, James & Koopman, Siem Jan, 2001.
"Time Series Analysis by State Space Methods,"
Oxford University Press, number 9780198523543, March.
- Tom Doan, . "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.
- Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-60, Oct.-Dec..
- Anderson, Heather M. & Victor Issler, Joao & Vahid, Farshid, 2006. "Common features," Journal of Econometrics, Elsevier, vol. 132(1), pages 1-5, May.
- Ericsson, Neil R, 1993. "Testing for Common Features: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 380-83, October.
- Doornik, Jurgen A, 1999. " Erratum [Approximations to the Asymptotic Distribution of Cointegration Tests]," Journal of Economic Surveys, Wiley Blackwell, vol. 13(2), pages i, April.
When requesting a correction, please mention this item's handle: RePEc:ssb:dispap:699. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (J Bruusgaard)
If references are entirely missing, you can add them using this form.