ANNNONLINTST: MATLAB function to perform nonlinearity test for univariate and multivariate time series

Shapour Mohammadi

Statistical Software Components from Boston College Department of Economics

Abstract: Nonlinearity test for univariate and multivariate time series. This Matlab code has been used in S. Mohammadi (ASA Data Sci Journal, 2019). The test is a generalization of Lee, Granger and White (1993) test. In addition to generalization to multivariate time series, some modifications are made in Mohammadi (2019) for increasing the power of Lee, Granger, and White (1993) test in the case of a univariate time series.

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/a/AnnNonlinTst.m program file (text/plain)

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