On data transformations and evidence of nonlinearity

Paul de Bruin and Philip Hans Franses

No EI 9823, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: In this paper we examine the interaction between data transformation and the empirical evidence obtained when testing for (non-)linearity. For this purpose we examine nonlinear features in 64 monthly and 53 quarterly US macroeconomic variables for a range of Box-Cox data transformations. Our general finding is that evidence of nonlinearity is not independent of the data transformation. Results of simulation experiments substantiate this finding.

Keywords: (non-)linearity; data transformation; nonlinear features (search for similar items in EconPapers)
Date: 1998-01-01
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Citations: View citations in EconPapers (2)

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Journal Article: On data transformations and evidence of nonlinearity (2002)
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