Testing Linearity Against Nonlinear Moving Average Models

Stockholm School of Economics WPS95-1/96

Posted: 21 Apr 1998

See all articles by Kurt Brannas

Kurt Brannas

University of Umea - Department of Economics

Jan G. De Gooijer

Amsterdam School of Economics

Timo Teräsvirta

Stockholm School of Economics - Department of Economics

Date Written: Undated

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 for testing the same model against an additive smooth transition moving average model. The latter model is introduced in the paper. The small sample performance of the proposed tests is evaluated in a Monte Carlo study and compared to that of the Wald and likelihood ratio statistics. The size properties of the Lagrange multiplier test are better than those of other tests.

JEL Classification: C22, C52

Suggested Citation

Brannas, Kurt and De Gooijer, Jan G. and Teräsvirta, Timo, Testing Linearity Against Nonlinear Moving Average Models (Undated). Stockholm School of Economics WPS95-1/96, Available at SSRN: https://ssrn.com/abstract=4161

Kurt Brannas

University of Umea - Department of Economics ( email )

Umea University
Department of Economics
SE-90187 Umea
Sweden
+46-90-786 6101 (Phone)
+46-90-772302 (Fax)

Jan G. De Gooijer

Amsterdam School of Economics ( email )

Roetersstraat 11
Amsterdam, 1018 WB
Netherlands

HOME PAGE: http://www.jandegooijer.nl

Timo Teräsvirta (Contact Author)

Stockholm School of Economics - Department of Economics ( email )

P.O. Box 6501
Sveavagen 65
S-113 83 Stockholm
Sweden

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