Testing Linearity against Nonlinear Moving Average Models

Lagrange multiplier (LM) test statistics are derived for testing a linear moving average model against an asymmetric moving average model and an LM type test against an additive smooth transition moving average model. The latter model is introduced in the paper. The small sample performance of the proposed tests are evaluated in a Monte Carlo study and compared to Wald and likelihood ratio statistics. The size properties of the Lagrange multiplier test are better than those of other tests.

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Year of publication:	1996-01
Authors:	Brännäs, Kurt ; Gooijer, Jan G. de ; Teräsvirta, Timo
Institutions:	Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Subject:	Moving average porcess \| asummetry \| nonlinearity \| Lagrange multiplier test \| Wald test \| Monte Carlo

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Series:	SSE/EFI Working Paper Series in Economics and Finance.
Type of publication:	Book / Working Paper
Notes:	Published in Communications in Statistics, Theory and Methods, 1998, pages 2025-2035. The text is part of a series Working Paper Series in Economics and Finance Number 95 9 pages
Classification:	C22 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005190846