Title:
  On model selection criteria as a starting point for sequential detection of
  non-linearity
Authors:
  Charles S. Bos and Ana Justel  

Discussion of:
  Detecting Non Linearity in Time Series by Model Selection Criteria
Authors: 
  Daniel Pena and Julio Rodriguez
  
International Journal of Forecasting 2005, Volume 21 (4), pages 749-754,
http://dx.doi.org/10.1016/j.ijforecast.2005.04.007

Programs
========
This directory contains the code needed for replicating the test
statistics and the graphs in the discussion by C.S. Bos and A. Justel.

The program
  pentest.ox
can be used to compute the power and size of the tests for one model,
specifying the model number, the number of repetitions, and the length
of the time series on the command line, e.g. with
  oxl pentest t 100 r 5000 model 1
After calculating the test statistics for models 0-11 (where model 0,
not used in the article, is a model where the data is white noise), the
table and graphs can be constructed using
  oxl pentable2.ox t 100 r 5000 restr

All output is written to the directory 
  excl/
  
Dependencies
============
These programs are written in Ox, see 
  http://www.doornik.com/
Furthermore, a working installation of GnuDraw and OxUtils is needed,
see 
  http://www.tinbergen.nl/~cbos/software.html
The programs have been checked to run on both Windows XP and Linux 32/64
bits.

Charles Bos
Amsterdam, 2 June 2008
cbos@feweb.vu.nl  
