Psaradakis, Zacharias and Spagnolo, N. (2002) Power properties of nonlinearity tests for time series with Markov regimes. Studies in Nonlinear Dynamics & Econometrics 6 (3), ISSN 1081-1826.
Abstract
This paper examines the relative performance of some popular nonlinearity tests when applied to time series generated by Markov switching autoregressive models. The nonlinearity tests considered include RESET-type tests, the Keenan test, the Tsay test, the McLeod—Li test, the BDS test, the White dynamic information matrix test, and the neural network test. Applications to economic time series are also considered.
Metadata
| Item Type: | Article |
|---|---|
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Sarah Hall |
| Date Deposited: | 21 Jul 2020 09:24 |
| Last Modified: | 02 Aug 2023 18:01 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/32624 |
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