Testing for time series linearity
David I. Harvey and
Stephen J. Leybourne
Econometrics Journal, 2007, vol. 10, issue 1, 149-165
process, and is consistent against non-linearity of either form. Finite sample simulation evidence, together with empirical evidence from an application to US Dollar real exchange rates, suggests that our procedure should work well in practice. Copyright Royal Economic Society 2007
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