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Testing for non-linearity in multivariate stochastic processes

  • Marian Vavra

    ()

    (National Bank of Slovakia)

Two well known multivariate non-linearity tests are modified using a principal component analysis. The Monte Carlo results show that the proposed principal component-based tests do provide a remarkable dimensionality reduction without any systematic power loss. It can be concluded that using linear dynamic economic models is in sharp contrast with our empirical findings.

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Paper provided by Research Department, National Bank of Slovakia in its series Working and Discussion Papers with number WP 2/2013.

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Length: 37 pages
Date of creation: Sep 2013
Date of revision:
Handle: RePEc:svk:wpaper:1023
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  1. BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," CORE Discussion Papers 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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  23. repec:cor:louvrp:-1234 is not listed on IDEAS
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