|
|||||
|
|
Testing linearity against nonlinear moving average models |
|
| Authors: | Kurt Brännäs Jan G. De Gooijer Timo Teräsvirta |
| Affiliation: | 1. Department of Economics , Ume? University , Ume?, S-901, Sweden;2. Department of Economic Statistics , University of Amsterdam , Roeterstraat 11, Amsterdam, 1018WB, The Netherlands;3. Department of Economic Statistics , Stockholm School of Economic , P.O. Box 6501, Stockholm, S-113 83, Sweden |
| 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. |
| Keywords: | Moving average process asymmetry nonlinearity Lagrange multiplier test Wald test Monte Carlo |