Template-Type: ReDIF-Paper 1.0
Author-Name: de Bruin, P.
Author-Name-Last: de Bruin
Author-Name-First: Paul
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Title: On data transformations and evidence of nonlinearity
Abstract: In this paper we examine the interaction between data transformation and the empirical evidence 
 obtained when testing for (non-)linearity. For this purpose we examine nonlinear features in 64 
 monthly and 53 quarterly US macroeconomic variables for a range of Box-Cox data 
 transformations. Our general finding is that evidence of nonlinearity is not independent of the data transformation. Results of simulation experiments substantiate this finding.
Creation-Date: 1998-01-01
File-URL: https://repub.eur.nl/pub/1548/feweco19980813140149.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 9823
Keywords: (non-)linearity, data transformation, nonlinear features
Handle: RePEc:ems:eureir:1548