Brännäs, Kurt; Ohlsson, Henry - In: The Review of Economics and Statistics 81 (1999) 2, pp. 341-344
The detection of nonlinearities could depend on the sampling frequency. Asymmetric monthly series may become symmetric when aggregated to quarterly or annual frequencies. We test against nonlinearity using the nonlinear autoregressive asymmetric moving average (ARasMA) model, which nests the...