Testing for time series linearity

David Harvey and Stephen Leybourne ()

Econometrics Journal, 2007, vol. 10, issue 1, 149-165

Abstract: 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

Date: 2007
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