1998
On data transformations and evidence of nonlinearity
Publication
Publication
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.
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| hdl.handle.net/1765/1548 | |
| Econometric Institute Research Papers | |
| Organisation | Erasmus School of Economics |
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de Bruin, P., & Franses, P. H. (1998). On data transformations and evidence of nonlinearity (No. EI 9823). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/1548 |
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