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:	1998-01-01
Authors:	Franses, Philip Hans ; de Bruin, de Bruin, P.
Institutions:	Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
Subject:	(non-)linearity \| data transformation \| nonlinear features

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Extent:	application/pdf
Series:	Econometric Institute Research Papers. - ISSN 1566-7294.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series RePEc:ems:eureir Number EI 9823
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010731834