Discussion Papers no. 699
Testing for co-non-linearity
This article introduces the concept of co-non-linearity. Co-non-linearity is an example of a common feature in time series (Engle and Koziciki, 1993, J. Bus. Econ. Statist.) and an extension of the concept of common nonlinear components (Anderson and Vahid, 1998, J. Econometrics). If some time series follow a non-linear process but there exists a linear relationship between the levels of these series that removes the non-linearity, then this relationship is said to be a co-non-linear relationship. In this article I show how to determine the number of such co-non-linear relationships. Furthermore, I show how to formulate hypothesis tests on the co-non-linear relationships in a full maximum likelihood framework.
Om publikasjonen
- Tittel
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Testing for co-non-linearity
- Ansvarlig
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Håvard Hungnes
- Serie og -nummer
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Discussion Papers no. 699
- Utgiver
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Statistics Norway
- Emne
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Discussion Papers
- ISSN
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1892-753X
- Antall sider
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25
- Målform
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Engelsk
- Om Discussion Papers
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Discussion papers comprise research papers intended for international journals and books. A preprint of a Discussion Paper may be longer and more elaborate than a standard journal article as it may include intermediate calculations, background material etc.
Kontakt
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