Finance Discipline Group
UTS Business School
University of Technology, Sydney

Working Paper Series

Testing for Nonlinearities in Economic and Financial Time Series
Author(s): Maurice Peat & Max Stevenson
Date of publication: September 1995
Working paper number: 48
Cyclical asymmetry has been recognised as a nonlinear phenomenon in numerous recent studies examining various economic and financial time series. If the nonlinear phenomena can be modelled by a nonlinear stochastic structure like the bilinear (BL), exponential autoregressive (EAR), smooth transition autoregressive (STAR), or self-exciting threshold autoregressive (SETAR) types, then we need tests to enable us to identify these various nonlinear models. In this paper we suggest modifications to the Tsay (1991) general test for identifying nonlinearities of the BL, EAR, and SETAR types as they occur in time series. Our testing procedure is simulated to determine its empirical properties.
Paper: Download (Format: PDF, Size: 1.2 Mb)
Known citations:

Jones, D., Peat, M. and Stevenson, M. 1996, "Does the Process of Spatial Aggregation of U.K. Unenployment Rate Series Serve to Induce or Remove Evidence of Asymmetry in the Business Cycle", Working Paper: 67, Finance Discipline Group, University of Technology, Sydney.

Peat, M. and Stevenson, M. 1996, "Asymmetry in the Business Cycle: Evidence from the Australian Labour Market", Journal of Economic Behavior and Organization, 30(3), 353-368.