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

• Type: Article in International Scientific Journal
• Date: 2000

Authors

Paulo Teles (Author) FEP; William W. S. Wei (Author) Other

Journal

Title: Computational Statistics and Data Analysis

Vol. 34

Pages: 91-103

ISSN: 0167-9473

Publisher: Elsevier

Indexing

ISI Web of Knowledge - 9 Citations

Scopus - 10 Citations

Other information

Authenticus ID: P-000-ZFS

DOI: 10.1016/s0167-9473(99)00072-9

Abstract (EN): Time-series aggregates are often used in performing tests for departure from linearity. In this paper, we study the effects 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.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 13