Testing Linearity against Nonlinear Moving Average Models

Kurt Brännäs (), Jan G. De Gooijer () and Timo Teräsvirta ()

No 95, Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: Lagrange multiplier (LM) test statistics are derived for testing a linear moving average model against an asymmetric moving average model and an LM type test against an additive smooth transition moving average model. The latter model is introduced in the paper. The small sample performance of the proposed tests are evaluated in a Monte Carlo study and compared to Wald and likelihood ratio statistics. The size properties of the Lagrange multiplier test are better than those of other tests.

Keywords: Moving average porcess; asummetry; nonlinearity; Lagrange multiplier test; Wald test; Monte Carlo (search for similar items in EconPapers)
JEL-codes: C22 C52 (search for similar items in EconPapers)
Date: 1996-01

Published in Communications in Statistics, Theory and Methods, 1998, pages 2025-2035.

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Working Paper: Testing Linearity against Nonlinear Moving Average Models (1997)
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Persistent link: http://EconPapers.repec.org/RePEc:hhs:hastef:0095

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