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    On testing for nonlinearity in multivariate time series

    Psaradakis, Zacharias and Vavra, Marian (2014) On testing for nonlinearity in multivariate time series. Economics Letters 125 (1), pp. 1-4. ISSN 0165-1765.

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    Abstract

    This paper considers a multivariate extension of the test for neglected nonlinearity proposed by Tsay (1986) that uses principal components to overcome the problem of dimensionality that is common with tests of this type. Monte Carlo experiments reveal that the modified multivariate test provides a significant dimensional reduction without suffering from any systematic level distortion or power loss, and is more powerful than univariate nonlinearity tests.

    Metadata

    Item Type: Article
    Keyword(s) / Subject(s): Multivariate time series, Nonlinearity tests, Principal components
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 11 Aug 2014 12:55
    Last Modified: 11 Oct 2016 15:27
    URI: http://eprints.bbk.ac.uk/id/eprint/10372

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