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Details van artikel 22 van 188 gevonden artikelen
| Titel: |
A note regarding ARCH and threshold processes: results from a Monte Carlo study |
| Auteur: |
Goering, Gregory E. Pippenger, Michael K. |
| Verschenen in: |
Applied economics letters |
| Paginering: | Jaargang 1 (1994) nr. 11 pagina's 210-213 |
| Jaar: |
1994-11-01 |
| Inhoud: |
Many economic relationships are non-linear. Hence, when analysing economic data it is important to identify any non-linearity. The primary type of non-linearity examined by economists is the ARCH-class model. However, other types of non-linear processes may be expected in economic and financial data. One of these is the threshold-class autoregressive process. This paper finds that the power of standard ARCH pre-test procedures for detecting threshold type non-linearity is very poor under certain parameter specifications; and that ARCH may be 'detected' in a significant number of cases even though the true process is of the threshold class. Thus care should be taken when interpreting ARCH pre-tests in economic series that are likely to contain threshold boundaries. |
| Uitgever: |
Routledge |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 22 van 188 gevonden artikelen
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