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A note on spurious nonlinear regression

This paper explores the power of two tests for nonlinearity against spurious nonlinear regression. Results show that while the BDS test is susceptible to spuriousness, an approach introduced by Peña and Rodriguez [Peña, D. and Rodriguez, J., 2005, Detecting nonlinearity in time series by model selection criteria, International Journal of Forecasting 21, 731-748.] is powerful, regardless of sample size.
Year of publication:
2008
Authors: O'Brien, Edward J.
Published in:
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 100.2008, 3, p. 366-368
Publisher: Elsevier
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005270021
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