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Testing linearity against nonlinear moving average models
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
1998 (English)In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 27, no 8, 2025-2035 p.Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
1998. Vol. 27, no 8, 2025-2035 p.
Keyword [en]
Asymmetry, Lagrange multiplier test, Monte Carlo, Moving average process, Nonlinearity, Wald test
National Category
Economics
Research subject
Econometrics
Identifiers
URN: urn:nbn:se:umu:diva-64763DOI: 10.1080/03610929808832207OAI: oai:DiVA.org:umu-64763DiVA: diva2:602692
Available from: 2013-02-02 Created: 2013-02-02 Last updated: 2017-12-06Bibliographically approved

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Brännäs, Kurt

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