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) |
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| Keyword(s) / Subject(s): | non-linearity testing, Monte Carlo experiments |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 11 Jan 2013 13:14 |
| Last Modified: | 02 Aug 2023 17:01 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/5954 |
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