## Nonlinear Model Specification/Diagnostics: Insights from a Battery of Nonlinearity Tests (1999)

Citations: | 4 - 1 self |

### BibTeX

@MISC{Ashley99nonlinearmodel,

author = {Richard A. Ashley and Douglas M. Patterson},

title = {Nonlinear Model Specification/Diagnostics: Insights from a Battery of Nonlinearity Tests},

year = {1999}

}

### OpenURL

### Abstract

A single statistical test for nonlinearity can indicate whether or not the generating mechanism of a time series is or is not linear. However, if the null hypothesis of linearity is rejected, the test result conveys little information as to what kind of nonlinear model is appropriate. Here we show that a battery of different nonlinearity tests, in contrast, can yield valuable model identification information. Applying such a battery of tests to data on U.S. real GNP, we are able to conclude that the commonly held notion that this time series is generated by some sort of two-state regime switching process is most likely incorrect.