Empirical evidence of joint nonlinearity in economic area and US economic variables using two modified multivariate nonlinearity tests

Mari�n V�vra
Authors registered in the RePEc Author Service: Marian Vavra ()

Applied Economics Letters, 2015, vol. 22, issue 14, 1094-1099

Abstract: This article examines the joint nonlinearity of 15 subsets of US and economic area (EA) economic variables using two modified multivariate nonlinearity tests recently developed in the literature. Clear evidence of joint nonlinearity in both US and EA economic variables is found. Our results thus cast doubts on the adequacy of using linear multivariate (VAR-type) models, structural or not, in applied economics.

Date: 2015
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DOI: 10.1080/13504851.2015.1005808

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