Testing linearity against nonlinear moving average models

Communications in Statistics - Theory and Methods

Volumn 27, Issue 8, 1998, Pages 2025-2035

  Brännäs, Kurt ^a   De Gooijer, Jan G ^b   Teräsvirta, Timo ^c  

^a UMEÅ UNIVERSITY   (Sweden)

^b UNIVERSITY OF AMSTERDAM   (Netherlands)

^c STOCKHOLM SCHOOL OF ECONOMICS   (Sweden)

Author keywords

Asymmetry; Lagrange multiplier test; Monte Carlo; Moving average process; Nonlinearity; Wald test

Indexed keywords

EID: 0242302091     PISSN: 03610926     EISSN: None     Source Type: Journal    
DOI: 10.1080/03610929808832207     Document Type: Article

References (12)

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