Consider the grow rate series (first difference of the log index) of the US monthly producer price

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Consider the grow rate series (first difference of the log index) of the US monthly producer price index from February 1913 to August 2017. The data can be obtained from FRED (PPIACO, 1982 index=100, not seasonally adjusted). The data are also in the file PPIACO.csv. Is the growth rate series linear? Perform some nonlinearity tests to draw a conclusion.

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Related Book For  book-img-for-question

Nonlinear Time Series Analysis

ISBN: 9781119264057

1st Edition

Authors: Ruey S. Tsay, Rong Chen

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