Testing for Non-Linear Dependence in Univariate Time Series: An Empirical Investigation of the Austrian Unemployment Rate

Wolfgang Koller, Manfred M. Fischer

    Publikation: Working/Discussion PaperWU Working Paper

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    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.
    OriginalspracheEnglisch
    ErscheinungsortVienna
    HerausgeberWU Vienna University of Economics and Business
    PublikationsstatusVeröffentlicht - 1 Dez. 2001

    Publikationsreihe

    NameDiscussion Papers of the Institute for Economic Geography and GIScience
    Nr.80/01

    WU Working Paper Reihe

    • Discussion Papers of the Institute for Economic Geography and GIScience

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