Testing for time series linearity
process, and is consistent against non-linearity of either form. Finite sample simulation evidence, together with empirical evidence from an application to US Dollar real exchange rates, suggests that our procedure should work well in practice. Copyright Royal Economic Society 2007
Year of publication: |
2007
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Authors: | Harvey, David I. ; Leybourne, Stephen J. |
Published in: |
Econometrics Journal. - Royal Economic Society - RES. - Vol. 10.2007, 1, p. 149-165
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Publisher: |
Royal Economic Society - RES |
Saved in:
freely available
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