Vai ai contenuti. | Spostati sulla navigazione | Spostati sulla ricerca | Vai al menu | Contatti | Accessibilità

| Crea un account

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

Full text disponibile come:

[img]
Anteprima
Documento PDF
1709Kb

Abstract (inglese)

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.


Statistiche Download - Aggiungi a RefWorks
Tipo di EPrint:Working Paper
Anno di Pubblicazione:Marzo 2014
Parole chiave (italiano / inglese):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 Lug 2014 09:45
Simple Metadata
Full Metadata
EndNote Format

Download statistics

Solo per lo Staff dell Archivio: Modifica questo record