Abstract

This paper examines the relative performance of some popular nonlinearity tests when applied to time series generated by Markov switching autoregressive models. The nonlinearity tests considered include RESET-type tests, the Keenan test, the Tsay test, the McLeod—Li test, the BDS test, the White dynamic information matrix test, and the neural network test. Applications to economic time series are also considered.

Recommended Citation

Zacharias Psaradakis and Nicola Spagnolo (2002) "Power Properties of Nonlinearity Tests for Time Series with Markov Regimes", Studies in Nonlinear Dynamics & Econometrics: Vol. 6: No. 3, Article 2.
http://www.bepress.com/snde/vol6/iss3/art2

Related Files

psaradakis_datacode.zip (6 kB)
Data and code for this paper