Search Results - subject:"Linearity Test"

A simple test for linearity against exponential smooth transition models with endogenous variables

Massacci, Daniele - In: Economics Letters 117 (2012) 3, pp. 851-856

This paper proposes a test for linearity against exponential smooth transition models with endogenous right-hand-side variables: to the very best of our knowledge, this class of models is new to the literature. By Monte Carlo analysis the test is shown to have good finite sample properties.

Persistent link: https://www.econbiz.de/10010594168

Sustainability of external debt : further evidence from non-linear framework

Nasir, Abm; Noman, Abdullah M. - In: International review of applied economics 26 (2012) 5, pp. 673-685

Persistent link: https://www.econbiz.de/10009612120

A smooth permanent surge process

González, Andrés - 2004

In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a...

Persistent link: https://www.econbiz.de/10010281224

A smooth permanent surge process

González Gómez, Andrés - Economics Institute for Research (SIR), … - 2004

experiments. An application to the stock markets is presented. Keywords: Linearity test, Monte Carlo testing, Smooth transitions … when = 0, the linearity test can be carried out by the null hypothesis H0 : = 0. However, the standard testing procedures … devoted to the linearity test, the second subsection contains results on the small-sample properties of the test of the random …

Persistent link: https://www.econbiz.de/10005423858

Business cycle non-linearities and productivity shocks

Piselli, Paolo - Banca d'Italia - 2004

The recent empirical evidence documenting the presence of asymmetries in business cycles represents a challenge for the standard equilibrium models of real business cycle. These models successfully explain most first and second moments of the actual time series, but cannot replicate non-linear...

Persistent link: https://www.econbiz.de/10005467299

Threshold non-linear dynamics between Hang Seng stock index and futures returns

Chung, Hon-Lun; Chan, Wai-Sum; Batten, Jonathan - In: The European Journal of Finance 17 (2011) 7, pp. 471-486

We test the joint dynamics between the Hong Kong Hang Seng Index futures and the underlying cash index using a Bivariate Threshold AutoRegressive model, which is better able to capture the complex return dynamics evident in financial time series. The results are consistent with a three-regime...

Persistent link: https://www.econbiz.de/10009276892

Threshold non-linear dynamics between Hang Seng stock index and futures returns

Chung, Hon-lun; Chan, Wai-Sum; Batten, Jonathan A. - In: The European journal of finance 17 (2011) 7/8, pp. 471-486

Persistent link: https://www.econbiz.de/10009509864

Functional coefficient autoregressive models: Estimation and tests of hypotheses

Chen, Rong - 1998

In this paper we study nonparametric estimation and hypothesis testing procedures for the functional coefficient AR (FAR) models of the form Xt = f1(Xt-d)Xt-1 +…+ fp(Xt-d)Xt-p +εt, first proposed by Chen and Tsay (1993). As a direct generalization of the linear AR model, the FAR model is a...

Persistent link: https://www.econbiz.de/10010309907

Functional coefficient autoregressive models: Estimation and tests of hypotheses

Chen, Rong - Sonderforschungsbereich 373, Quantifikation und … - 1998

Persistent link: https://www.econbiz.de/10010983743

Another Look at Swedish Business Cycles, 1861-1988

Skalin, Joakim; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1996

This paper considers nine long Swedish macroeconomic time series whose business cycle properties were discussed by Englund, Persson, and Svensson (1992) using frequency domain techniques. It is found by testing that all but two of the logarithmed and difference series are non-linear. The...

Persistent link: https://www.econbiz.de/10005423876