On data transformations and evidence of nonlinearity. (Q1614844)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | On data transformations and evidence of nonlinearity. |
scientific article |
Statements
On data transformations and evidence of nonlinearity. (English)
0 references
9 September 2002
0 references
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.
0 references
Nonlinearity
0 references
Box-Cox transformation
0 references