Testing for Non-Linear Dependence in Univariate Time Series: An Empirical Investigation of the Austrian Unemployment Rate

Koller, Wolfgang and Fischer, Manfred M. (2001) Testing for Non-Linear Dependence in Univariate Time Series: An Empirical Investigation of the Austrian Unemployment Rate. Discussion Papers of the Institute for Economic Geography and GIScience, 80/01. WU Vienna University of Economics and Business, Vienna.

[img]
Preview
PDF
WGI_DP_8001.pdf

Download (291kB)

Abstract

In recent years interest has been growing in testing for stochastic non-linearity in macroeconomic time series. There are several inference procedures available. But not much is known about their behaviour on real world small-sized settings. This paper surveys some of these tests. Their performance is compared using monthly Austrian unemployment data that cover the period January 1960 to December 1997. It is found that the test procedures surveyed are complementary rather than competing. Several useful guidelines are provided for applying the increasingly complex test procedures in practice.

Item Type: Paper
Divisions: Departments > Sozioökonomie > Wirtschaftsgeographie und Geoinformatik > Fischer
Depositing User: ePub Administrator
Date Deposited: 04 Jul 2014 12:22
Last Modified: 27 Mar 2017 11:13
URI: https://epub.wu.ac.at/id/eprint/4233

Actions

View Item View Item

Downloads

Downloads per month over past year

View more statistics