Testing Linearity Against Nonlinear Moving Average Models
Stockholm School of Economics WPS95-1/96
Posted: 21 Apr 1998
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: 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
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