Power properties of nonlinearity tests for time series with Markov regimes

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.

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Official URL: https://doi.org/10.2202/1558-3708.1091

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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