Testing for Time Series Linearity  

Oleh:

Harvey, David I. ; Leybourne, Stephen J.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 10 no. 1 (2007), page 149-165.
Topik: time series models; non linearity testing; wald tests; exchange rates
Fulltext: 149.pdf (196.49KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

In this paper, we present a procedure for testing the null hypothesis of linearity in a time series against the alternative of non-linearity. Adapting the robust Wald-type testing methods of Vogelsang (1998Econometrica66, 123 – 48), we provide a test statistic that has the same limiting null critical values regardless of whether the series under consideration is generated from a linear I (0) or linear I(1) process, and is consistent against non - linearity of either form. Finite sample simulation evidence, together with empirical evidence from an application to US Dollar real exchange rates, suggests that our procedure should work well in practice.

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