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dc.contributor.authorKapetanios, Georgeen_US
dc.date.accessioned2012-09-20T13:01:48Z-
dc.date.available2012-09-20T13:01:48Z-
dc.date.issued2002en_US
dc.identifier.urihttp://hdl.handle.net/10419/62906-
dc.description.abstractInterest in the interface of nonstationarity and nonlinearity has been increasing in the econometric literature. The motivation for this development maybe be traced to the perceived possibility that processes following nonlinear models maybe mistakenly taken to be unit root or long-memory nonstationary. This paper considers the possibility that processes may exhibit both long memory and nonlinearity. We test against the possibility that the process ut in the model (1-L)dyt = ut is nonlinear. We do not assume a particular parametric form for the nonlinear process but construct a pure significance test. Clearly, such a test could be straightforwardly constructed if d were known. Unfortunately, if a linear model is assumed while estimating d the power of the test will be reduced. We propose new more powerful tests for this problem. We present Monte Carlo evidence on the performance of the new tests and apply them to Yen real exchange rates.en_US
dc.language.isoengen_US
dc.publisherQueen Mary, Univ. of London, Dep. of Economics Londonen_US
dc.relation.ispartofseriesWorking Paper, Department of Economics, Queen Mary, University of London 473en_US
dc.subject.jelC22en_US
dc.subject.jelC12en_US
dc.subject.jelF31en_US
dc.subject.ddc330en_US
dc.subject.keywordLong memory, Nonlinearity, Neural networksen_US
dc.subject.stwNeuronale Netzeen_US
dc.subject.stwKaufkraftparitäten_US
dc.subject.stwNichtlineares Verfahrenen_US
dc.titleTesting for neglected nonlinearity in long memory modelsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn377023701en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

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