Kugiumtzis, Dimitris - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 1, pp. 1474-1474
The validity of any test for nonlinearity based on resampling techniques depends heavily on the consistency of the … nonlinearity, are reviewed and their performance is compared using different nonlinear statistics for the test. The simulations on … consistently good results in terms of size and power of the test. The performance of the nonlinearity test with the resampling …