Testing Linearity against Nonlinear Moving Average Models

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

No 405, Umeå Economic Studies from Umeå University, Department 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 process; Asymmetry; Nonlinearity; Lagrange multiplier test; Wald test; Monte Carlo. (search for similar items in EconPapers)
JEL-codes: C15 C22 C52 (search for similar items in EconPapers)
Pages: 15 pages
Date: 1997-08-30
References: Add references at CitEc
Citations:

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

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Testing Linearity against Nonlinear Moving Average Models (1996)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhs:umnees:0405

Access Statistics for this paper

More papers in Umeå Economic Studies from Umeå University, Department of Economics Department of Economics, Umeå University, S-901 87 Umeå, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by David Skog ().