NONLINTSTMLTVAR: MATLAB function to perform nonlinearity tests for multivariate time series

Shapour Mohammadi

Statistical Software Components from Boston College Department of Economics

Abstract: Output of the code includes the following nonlinearity tests: Terasvirta, Lin, and Granger(1993), Tsay, and Keenan This Matlab code has been used in S. Mohammadi(ASA Data Sci Journal, 2019).

Language: MATLAB
Requires: MATLAB
Keywords: nonlinearity; time series (search for similar items in EconPapers)
Date: 2020-08-16
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http://fmwww.bc.edu/repec/bocode/n/NonlinTstMltvar.m program file (text/plain)

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