Empirical evidence of joint nonlinearity in economic area and US economic variables using two modified multivariate nonlinearity tests

被引：0

作者：

Vavra, Marian ^{[1
]}

机构：

[1] Natl Bank Slovakia, Governor & Res Dept, Bratislava, Slovakia

来源：

APPLIED ECONOMICS LETTERS | 2015年 / 22卷 / 14期

关键词：

VAR models; principal component analysis; nonlinearity testing; TSAY test; ARCH test; DSGE MODEL;

D O I：

10.1080/13504851.2015.1005808

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article examines the joint nonlinearity of 15 subsets of US and economic area (EA) economic variables using two modified multivariate nonlinearity tests recently developed in the literature. Clear evidence of joint nonlinearity in both US and EA economic variables is found. Our results thus cast doubts on the adequacy of using linear multivariate (VAR-type) models, structural or not, in applied economics.

引用

页码：1094 / 1099

页数：6