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The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 95:
Testing Linearity against Nonlinear Moving Average Models

Kurt Brännäs, Jan G. de Gooijer and Timo Teräsvirta ()

Abstract: 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 the proposed tests are evaluated in a Monte Carlo study and compared to Wald and likelihood ratio statistics. The size properties of the Lagrange multiplier test are better than those of other tests.

Keywords: Moving average porcess; asummetry; nonlinearity; Lagrange multiplier test; Wald test; Monte Carlo; (follow links to similar papers)

JEL-Codes: C22; C52; (follow links to similar papers)

9 pages, January 1996

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This paper is published as:
Brännäs, Kurt, Jan G. de Gooijer and Timo Teräsvirta, (1998), 'Testing Linearity against Nonlinear Moving Average Models', Communications in Statistics, Theory and Methods, Vol. 27, No. 8, pages 2025-2035



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