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    Robustness of power properties of non-linearity tests

    Vavra, Marian (2012) Robustness of power properties of non-linearity tests. Working Paper. Birkbeck College, University of London, London, UK.

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    Abstract

    The paper examines the robustness of the size and power properties of the standard non-linearity tests under different conditions such as moment failure and asymmetry of innovations. Our results reveal the following. First, there seems not to be a direct link between moment condition failure and the power variation of non-linearity tests. Second, the power of the tests is very sensitive to asymmetry of innovations compared to moment condition failure. Third, although we evaluate 9 non-linear time series models using 8 standard non-linearity tests, some non-linear models remain completely undetected.

    Metadata

    Item Type: Monograph (Working Paper)
    Keyword(s) / Subject(s): non-linearity testing, Monte Carlo experiments
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 11 Jan 2013 13:14
    Last Modified: 11 Oct 2016 12:01
    URI: http://eprints.bbk.ac.uk/id/eprint/5954

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