Narrow search
Showing 1 - 4 of 4
Cover Image
Testing linearity against nonlinear moving average models
Brännäs, Kurt; Gooijer, Jan G. de; Teräsvirta, Timo - 1996
Persistent link: https://www.econbiz.de/10000927212
Cover Image
Modelling Non-Linear Economic Relationships
Granger, Clive; Teräsvirta, Timo; Brännäs, Kurt - In: The Scandinavian journal of economics 96 (1994) 4, pp. 576-577
Persistent link: https://www.econbiz.de/10006072045
Cover Image
Testing Linearity against Nonlinear Moving Average Models
Brännäs, Kurt; Gooijer, Jan G. de; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1996
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...
Persistent link: https://www.econbiz.de/10005190846
Cover Image
Testing Linearity against Nonlinear Moving Average Models
Brännäs, Kurt; Gooijer, Jan G. de; Teräsvirta, Timo - Institutionen för Nationalekonomi, Umeå Universitet - 1997
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...
Persistent link: https://www.econbiz.de/10005424043