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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.
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
Series:
Type of publication: Book / Working Paper
Notes:
Number 1996.05 14 pages
Source:
Persistent link: https://www.econbiz.de/10010541524
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