Power Properties of Linearity Tests for Time Series

This paper examines the power properties of several linearity tests applied in time series analysis. The tests are the ones Lee et al. (1993) used in their Monte Carlo study. The main tool used for power comparisons in this paper is the Pitman asymptotic relative efficiency. The results generally strengthen the outcome of the simulations and complement some results in Lee et al. (1993). They also suggest guidelines for designing Monte Carlo experiments for linearity tests.

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Year of publication:	1996-01
Authors:	Teräsvirta, Timo
Institutions:	Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Subject:	Bilinear model \| local asymptotic power \| nonlinear time series \| Pitman asymptotic relative efficiency \| threshold autoregressive model

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Series:	SSE/EFI Working Paper Series in Economics and Finance.
Type of publication:	Book / Working Paper
Notes:	Published in Studies in Nonlinear Dynamics and Econometrics, 1996, pages 3-10 The text is part of a series Working Paper Series in Economics and Finance Number 94 15 pages
Classification:	C22 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005649207