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The effects of temporal aggregation on tests of linearity of a time series

โœ Scribed by Paulo Teles; William W.S Wei

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
158 KB
Volume
34
Category
Article
ISSN
0167-9473

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โœฆ Synopsis

Time-series aggregates are often used in performing tests for departure from linearity. In this paper, we study the e ects of temporal aggregation on testing for linearity, basing our analysis on both time-and frequency-domain tests. The results show that temporal aggregation weakens nonlinearity and reduces the power of the tests. The impact is severe. The use of aggregate data greatly hampers the detection of the nonlinear nature of the process.

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