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dc.contributor.authorKapetanios, Georgeen
dc.date.accessioned2012-09-20T13:01:48Z-
dc.date.available2012-09-20T13:01:48Z-
dc.date.issued2002-
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
dc.language.isoengen
dc.publisher|aQueen Mary University of London, Department of Economics |cLondonen
dc.relation.ispartofseries|aWorking Paper |x473en
dc.subject.jelC22en
dc.subject.jelC12en
dc.subject.jelF31en
dc.subject.ddc330en
dc.subject.keywordLong memory, Nonlinearity, Neural networksen
dc.subject.stwNeuronale Netzeen
dc.subject.stwKaufkraftparitäten
dc.subject.stwNichtlineares Verfahrenen
dc.titleTesting for neglected nonlinearity in long memory models-
dc.typeWorking Paperen
dc.identifier.ppn377023701en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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