On data transformations and evidence of nonlinearity.

DOI10.1016/S0167-9473(02)00054-3MaRDI QIDQ1614844zbMATH OpenFDO

Authors Philip Hans Franses, Paul T. De Bruin

Publication date 9 September 2002

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-9473(02)00054-3

zbMATH Keywords

Box-Cox transformationNonlinearity

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20)

Review text

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.

Recommendations

• A non-parametric analysis of transformations
• On the sensitivity of unit root inference to nonlinear data transformations
• Tests of transformation in nonlinear regression
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Estimating Data Transformations in Nonlinear Mixed Effects Models

Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 1168350 (Why is no real title available?)
• scientific article; zbMATH DE number 3251902 (Why is no real title available?)
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• On data transformations and evidence of nonlinearity.
• On the sensitivity of unit root inference to nonlinear data transformations
• Specification, estimation, and evaluation of smooth transition autoregressive models
• Testing for Unit Roots and Non-linear Transformations

Cited in

(2)

• On the sensitivity of unit root inference to nonlinear data transformations
• On data transformations and evidence of nonlinearity.

This page was built for publication: On data transformations and evidence of nonlinearity.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1614844)