Abstract
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.
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.
Originalsprache | Englisch |
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Erscheinungsort | Vienna |
Herausgeber | WU Vienna University of Economics and Business |
DOIs | |
Publikationsstatus | Veröffentlicht - 1 Dez. 2001 |
Publikationsreihe
Reihe | Discussion Papers of the Institute for Economic Geography and GIScience |
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Nummer | 80/01 |
WU Working Paper Reihe
- Discussion Papers of the Institute for Economic Geography and GIScience