Psaradakis, Zacharias and Vavra, Marian (2014) On testing for nonlinearity in multivariate time series. Economics Letters 125 (1), pp. 1-4. ISSN 0165-1765.
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 Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 11 Aug 2014 12:55 |
| Last Modified: | 02 Aug 2023 17:12 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/10372 |
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