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Bispectrum 1 Linear prefiltering procedure 1 Maximization technique 1 Nonlinearity 1 Smoothing parameter 1
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Ashley, Richard 1 Dagum, Estela Bee 1 Patterson, Douglas 1 Rusticelli, Elena 1
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Econometric Reviews 1
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A New Bispectral Test for NonLinear Serial Dependence
Rusticelli, Elena; Ashley, Richard; Dagum, Estela Bee; … - In: Econometric Reviews 28 (2009) 1-3, pp. 279-293
Nonconstancy of the bispectrum of a time series has been taken as a measure of non-Gaussianity and nonlinear serial dependence in a stochastic process by Subba Rao and Gabr (1980) and by Hinich (1982), leading to Hinich's statistical test of the null hypothesis of a linear generating mechanism...
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