Testing the linearity of a time series. Some Monte Carlo and Empirical Tests

This letter proposes a simple test for the linearity of a time series. We compare the small and large samples properties of the suggested test via Monte Carlo techniques with well known time domain linearity tests. Our results suggest that the suggested test over performs the power of the other competitive tests in small samples.

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Authors:	Tserkezos, Efstratios ; Tserkezos, Dikaios
Institutions:	Department of Economics, University of Crete
Subject:	Testing nonlinearity \| Hinich portmanteau bicorrelation test \| Keenan \| Mcleodi-Li tests \| ARCH and Luukkonen LST Test

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in INTERNATIONAL WORKSHOP IN ECONOMICS AND FINANCE IWEF 2007 Number 0827 10 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004994367