A Note on Spurious Nonlinear Regression
Edward J. O'Brien
European Central Bank (ECB)
Abstract:
This paper explores the power of two tests for nonlinearity against spurious nonlinear regression. Results show that while the BDS test is susceptible to spuriousness, an approach introduced by Pena and Rodriguez (2005) is powerful, regardless of sample size.
Number of Pages in PDF File: 10
Keywords: Spurious nonlinear regression, nonlinearity tests
JEL Classification: C12, C13, C22
working papers series
Suggested Citation
O'Brien, Edward J., A Note on Spurious Nonlinear Regression. Available at SSRN: http://ssrn.com/abstract=1097091 or http://dx.doi.org/10.2139/ssrn.1097091
