Scandinavian Working Papers in Economics
Umeå Economic Studies,
Umeå University, Department of Economics
No 405: Testing Linearity against Nonlinear Moving Average Models
Kurt Brännäs (), Jan G. de Gooijer () and Timo Teräsvirta ()
Additional contact information
Kurt Brännäs: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden
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 process; Asymmetry; Nonlinearity; Lagrange multiplier test; Wald test; Monte Carlo.
15 pages, August 30, 1997
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