Testing for Non-linearity in Time Series Models
This paper investigates whether or not the LM techniques proposed to test the null hypothesis of linearity against GARCH, bilinear (BL) and Joint GARCH-BL alternatives separately, have desirable finite sample properties. The result of a Monte carlo simulation study show that their sizes are close to the nominal level.
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|Date of creation:||1996|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.latrobe.edu.au/economics|
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