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http://hdl.handle.net/10419/38752
  
Title:Evaluating a class of nonlinear time series models PDF Logo
Authors:Heinen, Florian
Issue Date:2010
Series/Report no.:Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät // Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 445
Abstract:We consider a recently proposed class of nonlinear time series models and focus mainly on misspecification testing for models of such type. Following the modeling cycle for nonlinear time series models of specification, estimation and evaluation we first treat how to choose an adequate transition function and then contribute to the evaluation stage by proposing tests against serial correlation, no remaining nonlinearity and parameter constancy. We also consider evaluation by generalized impulse response functions. The finite sample properties of the proposed tests are studied via simulation. We illustrate the use of these methods by an application to real exchange rate data.
Subjects:Nonlinearities
Smooth transition
Specification testing
Real exchange rates
JEL:C12
C22
C52
Document Type:Working Paper
Appears in Collections:Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover

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