A note on spurious nonlinear regression |
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Authors: | Edward J. O'Brien |
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Affiliation: | aEuropean Central Bank, Frankfurt am Main, Germany |
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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 Peña and Rodriguez [Peña, D. and Rodriguez, J., 2005, Detecting nonlinearity in time series by model selection criteria, International Journal of Forecasting 21, 731–748.] is powerful, regardless of sample size. |
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Keywords: | Spurious nonlinear regression Nonlinearity tests |
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