Testing for Non-linearity in Time Series Models

This paper investigates whether or not the LM techniques proposed to test the null hypothesis of linearity against GARCH, bilinear (BL) and Joint GARCH-BL alternatives separately, have desirable finite sample properties. The result of a Monte carlo simulation study show that their sizes are close to the nominal level.

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Year of publication:	1996
Authors:	Beg, A B M Rabiul Alam ; Silvapulle, Param
Institutions:	Department of Economics and Finance, La Trobe Business School
Subject:	Time Series \| Economic Models EDIRC Provider-Institution: RePEc:edi:smlatau

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 1996.05 14 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008867952