Psaradakis, Zacharias - In: Studies in Nonlinear Dynamics & Econometrics 4 (2000) 3, pp. 1059-1059
When the hypothesis of linearity of a univariate time series model is tested using a battery of tests for neglected nonlinearity, the probability of one or more tests' leading to a false rejection increases with the number of tests being performed. This paper discusses how this undesirable...