Testing for non-linearity in multivariate stochastic processes

Marian Vavra ()

No WP 2/2013, Working and Discussion Papers from Research Department, National Bank of Slovakia

Abstract: Two well known multivariate non-linearity tests are modified using a principal component analysis. The Monte Carlo results show that the proposed principal component-based tests do provide a remarkable dimensionality reduction without any systematic power loss. It can be concluded that using linear dynamic economic models is in sharp contrast with our empirical findings.

Keywords: non-linearity testing; principal component analysis; Monte Carlo method (search for similar items in EconPapers)
JEL-codes: C12 C15 C32 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2013-09
New Economics Papers: this item is included in nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: On testing for nonlinearity in multivariate time series (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:svk:wpaper:1023

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