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

Wolfgang Koller; Manfred M. Fischer

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

Publication: Working/Discussion Paper › WU 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.

Original language	English
Place of Publication	Vienna
Publisher	WU Vienna University of Economics and Business
Publication status	Published - 1 Dec 2001

Publication series

Series	Discussion Papers of the Institute for Economic Geography and GIScience
Number	80/01

WU Working Paper Series

Discussion Papers of the Institute for Economic Geography and GIScience

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WGI DP 8001Final published version, 284 KBLicence: Other

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Cite this

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