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...

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Main Authors:	Koller, Wolfgang, Fischer, Manfred M.
Format:	Others
Language:	en
Published:	WU Vienna University of Economics and Business 2001
Online Access:	http://epub.wu.ac.at/4233/1/WGI_DP_8001.pdf

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spelling	ndltd-VIENNA-oai-epub.wu-wien.ac.at-42332017-03-28T05:40:13Z Testing for Non-Linear Dependence in Univariate Time Series: An Empirical Investigation of the Austrian Unemployment Rate Koller, Wolfgang Fischer, Manfred M. 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. WU Vienna University of Economics and Business 2001-12 Paper NonPeerReviewed en application/pdf http://epub.wu.ac.at/4233/1/WGI_DP_8001.pdf Series: Discussion Papers of the Institute for Economic Geography and GIScience http://epub.wu.ac.at/4233/
collection	NDLTD
language	en
format	Others
sources	NDLTD
description	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
author	Koller, Wolfgang Fischer, Manfred M.
spellingShingle	Koller, Wolfgang Fischer, Manfred M. Testing for Non-Linear Dependence in Univariate Time Series: An Empirical Investigation of the Austrian Unemployment Rate
author_facet	Koller, Wolfgang Fischer, Manfred M.
author_sort	Koller, Wolfgang
title	Testing for Non-Linear Dependence in Univariate Time Series: An Empirical Investigation of the Austrian Unemployment Rate
title_short	Testing for Non-Linear Dependence in Univariate Time Series: An Empirical Investigation of the Austrian Unemployment Rate
title_full	Testing for Non-Linear Dependence in Univariate Time Series: An Empirical Investigation of the Austrian Unemployment Rate
title_fullStr	Testing for Non-Linear Dependence in Univariate Time Series: An Empirical Investigation of the Austrian Unemployment Rate
title_full_unstemmed	Testing for Non-Linear Dependence in Univariate Time Series: An Empirical Investigation of the Austrian Unemployment Rate
title_sort	testing for non-linear dependence in univariate time series: an empirical investigation of the austrian unemployment rate
publisher	WU Vienna University of Economics and Business
publishDate	2001
url	http://epub.wu.ac.at/4233/1/WGI_DP_8001.pdf
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Testing for Non-Linear Dependence in Univariate Time Series: An Empirical Investigation of the Austrian Unemployment Rate

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