On Data Transformations and Evidence of Nonlinearity.

In this paper we examine the interaction between data transformation and the empirical evidence obtained when testing for (non-)linearity. For this purpose we examine nonlinear features in 64 monthly and 53 quarterly US macroeconomic variables for a range of Box-Cox data transformations. Our general finding is that evidence of nonlinearity is not independent of the data transformation. Results of simulation experiments substantiate this finding.

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Year of publication:	1998
Authors:	De Bruin, P. ; Franses, P.H.
Institutions:	Econometrisch Instituut, Faculteit der Economische Wetenschappen
Subject:	LINEAR MODELS \| TESTS

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Series:	Erasmus University of Rotterdam - Econometric Institute.
Type of publication:	Book / Working Paper
Notes:	18 pages
Classification:	C50 - Econometric Modeling. General ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005660880