European Business Schools Librarian's Group
SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics
No 95: Testing Linearity against Nonlinear Moving Average Models
Kurt Brännäs, Jan G. de Gooijer and Timo Teräsvirta ()
Additional contact information
Kurt Brännäs: Department of Economics, Postal: Umea University, Sweden
Jan G. de Gooijer: Department of Economic Statistics, Postal: University of Amsterdam, The Netherlands
Timo Teräsvirta: Department of Economic Statistics, Postal: Stockholm School of Economics, Box 6501, 113 83 Stockholm, Sweden.
Abstract: Lagrange multiplier (LM) test statistics are derived for testing a linear moving average model against an asymmetric moving average model and an LM type test against an additive smooth transition moving average model. The latter model is introduced in the paper. The small sample performance of the proposed tests are evaluated in a Monte Carlo study and compared to Wald and likelihood ratio statistics. The size properties of the Lagrange multiplier test are better than those of other tests.
Keywords: Moving average porcess; asummetry; nonlinearity; Lagrange multiplier test; Wald test; Monte Carlo
9 pages, January 1996
Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson ().
RePEc:hhs:hastef:0095This page generated on 2024-09-13 22:19:40.