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Testing Linearity against Nonlinear Moving Average Models

Author

Listed:
  • Brännäs, Kurt

    (Department of Economics)

  • Gooijer, Jan G. de

    (Department of Economic Statistics)

  • Teräsvirta, Timo

    (Department of Economic Statistics)

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.

Suggested Citation

  • Brännäs, Kurt & Gooijer, Jan G. de & Teräsvirta, Timo, 1996. "Testing Linearity against Nonlinear Moving Average Models," SSE/EFI Working Paper Series in Economics and Finance 95, Stockholm School of Economics.
    • Handle: RePEc:hhs:hastef:0095
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    Keywords

    Moving average porcess; asummetry; nonlinearity; Lagrange multiplier test; Wald test; Monte Carlo;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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