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Testing the assumption of Linearity

Author

Listed:
  • Theodore Panagiotidis

    (Department of Economics & Finance, Brunel University)

Abstract

The assumption of linearity is tested using five statistical tests for the US and the Canadian unemployment rates. An AR(p) model was used to remove any linear structure from the series. Strong evidence in favour of non-linearity was found in the case of Canada. The result for the US is not so clear cut.

Suggested Citation

  • Theodore Panagiotidis, 2002. "Testing the assumption of Linearity," Economics Bulletin, AccessEcon, vol. 3(29), pages 1-9.
    • Handle: RePEc:ebl:ecbull:eb-02c20007
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    References listed on IDEAS

    as
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    Cited by:

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    3. He, Kaijian & Yu, Lean & Tang, Ling, 2015. "Electricity price forecasting with a BED (Bivariate EMD Denoising) methodology," Energy, Elsevier, vol. 91(C), pages 601-609.
    4. T Tang, 2009. "Testing for Non-linearity in the Balancing Item of Balance of Payments Accounts: The Case of 20 Industrial Countries," Economic Issues Journal Articles, Economic Issues, vol. 14(2), pages 107-124, September.
    5. Elena Olmedo, 2014. "Forecasting Spanish Unemployment Using Near Neighbour and Neural Net Techniques," Computational Economics, Springer;Society for Computational Economics, vol. 43(2), pages 183-197, February.
    6. Claudiu Tiberiu Albulescu & Aviral Kumar Tiwari & Phouphet Kyophilavong, 2021. "Nonlinearities and Chaos: A New Analysis of CEE Stock Markets," Mathematics, MDPI, vol. 9(7), pages 1-13, March.
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    9. Kaijian He & Hongqian Wang & Jiangze Du & Yingchao Zou, 2016. "Forecasting Electricity Market Risk Using Empirical Mode Decomposition (EMD)—Based Multiscale Methodology," Energies, MDPI, vol. 9(11), pages 1-11, November.
    10. Ntebogang Dinah Moroke, 2015. "An Optimal Generalized Autoregressive Conditional Heteroscedasticity Model for Forecasting the South African Inflation Volatility," Journal of Economics and Behavioral Studies, AMH International, vol. 7(4), pages 134-149.
    11. Gupta, Priyanshi & Sehgal, Sanjay & Deisting, Florent, 2015. "Time-Varying Bond Market Integration in EMU," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 30(4), pages 708-760.
    12. Mohammed AlHomaidy, 2020. "Lack of Reform Effect on Exchange Efficiency- Empirical Evidence from Saudi Market Index," Research in Applied Economics, Macrothink Institute, vol. 12(4), pages 46-65, December.
    13. Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu, 2006. "Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models," MPRA Paper 593, University Library of Munich, Germany, revised 07 Oct 2006.
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    More about this item

    Keywords

    non-linearity;

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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