Testing for co-nonlinearity
| Autor: | Håvard Hungnes |
|---|---|
| Rok vydání: | 2014 |
| Předmět: | |
| Zdroj: | Studies in Nonlinear Dynamics & Econometrics. 19:339-353 |
| ISSN: | 1558-3708 1081-1826 |
| DOI: | 10.1515/snde-2013-0092 |
| Popis: | This article introduces the concept of co-nonlinearity. Co-nonlinearity is an example of a common feature in time series [Engle, Robert F., and Sharon Kozicki. 1993. “Testing for Common Features.” Journal of Business & Economic Statistics 11 (4): 369–380] and an extension of the concept of common nonlinear components [Anderson, Heather M., and Farshid Vahid. 1998. “Testing Multiple Equation Systems for Common Nonlinear Components.” Journal of Econometrics 84 (1): 1–36]. If some time series follow a nonlinear process but where a linear relationship between the levels of these series removes the nonlinearity, such a relationship is defined as co-nonlinear. In this article I show how to determine the number of such co-nonlinear relationships. Furthermore, I show how to formulate hypothesis tests on the co-nonlinear relationships in a full maximum likelihood framework. The framework for identifying co-nonlinear relationships is illustrated in a system of Norwegian interest rates. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|