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Testing for Non-linearity in Time Series Models

Author

Listed:
  • A B M Rabiul Alam Beg

    (Department of Economics and Finance, La Trobe University)

  • Param Silvapulle

    (Department of Economics and Finance, La Trobe University)

Abstract

This paper investigates whether or not the LM techniques proposed to test the null hypothesis of linearity against GARCH, bilinear (BL) and Joint GARCH-BL alternatives separately, have desirable finite sample properties. The result of a Monte carlo simulation study show that their sizes are close to the nominal level.

Suggested Citation

  • A B M Rabiul Alam Beg & Param Silvapulle, 1996. "Testing for Non-linearity in Time Series Models," Working Papers 1996.05, School of Economics, La Trobe University.
    • Handle: RePEc:ltr:wpaper:1996.05
    as

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