Testing for Non-Linear Dependence in Univariate Time Series: An Empirical Investigation of the Austrian Unemployment Rate
In recent years interest has been growing in testing for stochastic non-linearity in macroeconomic time series. There are several inference procedures available. But not much is known about their behaviour on real world small-sized settings. This paper surveys some of these tests. Their performan...
| Main Authors: | , |
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| Format: | Others |
| Language: | en |
| Published: |
WU Vienna University of Economics and Business
2001
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| Online Access: | http://epub.wu.ac.at/4233/1/WGI_DP_8001.pdf |
| Summary: | In recent years interest has been growing in testing for stochastic non-linearity in
macroeconomic time series. There are several inference procedures available. But not
much is known about their behaviour on real world small-sized settings. This paper
surveys some of these tests. Their performance is compared using monthly Austrian
unemployment data that cover the period January 1960 to December 1997. It is found
that the test procedures surveyed are complementary rather than competing. Several
useful guidelines are provided for applying the increasingly complex test procedures
in practice. === Series: Discussion Papers of the Institute for Economic Geography and GIScience |
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