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Bisaglia, Luisa and Gerolimetto, Margherita (2014) Testing for (non)linearity in economic time series: a Monte Carlo comparison. [Working Paper] WORKING PAPER SERIES, 3/2014 . , PADOVA (Inedito)

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Abstract (english)

In recent years interest has been growing in testing for (non)linearity in time series. Several tests are available in literature, some of them are designed to distinguish linearity from a well specied parametric nonlinear model, while others have been developed without a parametric nonlinear alternative in mind. In this paper we review the issue of testing for (non)linearity and examine, via Monte Carlo experiments, the power and size properties of the major linearity tests applied to dierent nonlinear time series models.


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EPrint type:Working Paper
Anno di Pubblicazione:March 2014
Key Words:linearity tests, time series analysis, nonlinear models for time series
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:6983
Depositato il:22 Jul 2014 09:45
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