Power Properties of Nonlinearity Tests for Time Series with Markov Regimes

This paper examines the relative performance of some popular nonlinearity tests when applied to time series generated by Markov switching autoregressive models. The nonlinearity tests considered include RESET-type tests, the Keenan test, the Tsay test, the McLeod--Li test, the BDS test, the White dynamic information matrix test, and the neural network test. Applications to economic time series are also considered.

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Year of publication:	2007
Authors:	Psaradakis, Zacharias ; Spagnolo, Nicola
Published in:	Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 6.2007, 3, p. 1091-1091
Publisher:	Berkeley Electronic Press
Subject:	Markov chain \| Monte Carlo simulation \| nonlinearity tests \| regime switching

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Extent:	application/pdf
Type of publication:	Article
Notes:	oai:bepress:
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004966108