Testing for Non-linearity in Time Series Models

A Beg and Param Silvapulle
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A Beg: School of Economics, La Trobe University
Param Silvapulle: School of Economics, La Trobe University

No 1996.05, Working Papers from School of Economics, La Trobe University

Abstract: This paper investigates whether or not the LM techniques proposed to test the null hypothesis of linearity against GARCH, bilinear (BL) and Joint GARCH-BL alternatives separately, have desirable finite sample properties. The result of a Monte carlo simulation study show that their sizes are close to the nominal level.

Keywords: Time Series; Economic Models (search for similar items in EconPapers)
Pages: 14 pages
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:trb:wpaper:1996.05

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