Power Properties of Nonlinearity Tests for Time Series with Markov Regimes

Zacharias Psaradakis and Nicola Spagnolo

Studies in Nonlinear Dynamics & Econometrics, 2002, vol. 6, issue 3, 16

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.

Date: 2002
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DOI: 10.2202/1558-3708.1091

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