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The Performance Of Nonlinearity Tests On Asymmetric Nonlinear Time Series

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  • Ahn, Eun S.
  • Lee, Jin Man

Abstract

This paper examines nonlinearity tests of asymmetric time series in a controlled Monte Carlo setting with the goal of exploring how well existing nonlinear test statistics performed in a variety of typical time series settings. The data generation processes and sample sizes were allowed to vary in a controlled fashion. The study confirmed that none of the test statistics were dominant relative to the others. Also, dependent upon the data generating process, the test statistics exhibited very different powers. Finally, our research showed that the test performance was heavily dependent upon sample size and the degree of asymmetric mechanism.

Suggested Citation

  • Ahn, Eun S. & Lee, Jin Man, 2012. "The Performance Of Nonlinearity Tests On Asymmetric Nonlinear Time Series," The Journal of Economic Asymmetries, Elsevier, vol. 9(2), pages 11-44.
    • Handle: RePEc:eee:joecas:v:9:y:2012:i:2:p:11-44
    DOI: 10.1016/j.jeca.2012.02.002
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    More about this item

    Keywords

    Nonlinearity Test; Asymmetric Time Series; Monte Carol Simulation;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling

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