On the robustness of nonlinearity tests to moment condition failure

DOI10.1016/0304-4076(95)01791-7zbMATH Open0873.62126OpenAlexW2046325355MaRDI QIDQ1362039FDOQ1362039

Authors: Pedro J. F. de Lima 

Publication date: 3 August 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01791-7

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zbMATH Keywords

misspecificationsimulation studyheavy-tailed distributionsstock returnsconditional variancenonexistence of momentsmoment condition failuretesting nonlinearities

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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• Nonlinearity tests for time series

Cited In (14)

• Time-irreversibility test for random-length time series: the matching-time approach applied to DNA
• A functional conditional symmetry test for a GARCH-SM model: Power asymptotic properties
• Estimation of the maximal moment exponent with censored data
• Testing asymmetry in financial time series
• A nonparametric test of the mixture-of-distributions model
• Portmanteau tests for linearity of stationary time series
• A quantile-based test for symmetry of weakly dependent processes
• Time reversibility tests of volume-volatility dynamics for stock returns
• Testing time reversibility without moment restrictions
• Robust score and portmanteau tests of volatility spillover
• Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management
• Moment condition tests for heavy tailed time series
• Moment condition failure in stock returns: UK evidence
• Testing non-linearities in world stock market prices

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