On data transformations and evidence of nonlinearity. (Q1614844)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On data transformations and evidence of nonlinearity. |
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On data transformations and evidence of nonlinearity. (English)
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9 September 2002
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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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Nonlinearity
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Box-Cox transformation
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