We discuss the application of a new test for nonlinearity for economic time series. We apply the test for several monthly unemployment series from the developed economies. We find nonlinearities in the unemployment for most of the European economies, but not for US, UK or Japan.

A framework is proposed for the analysis of non-Gaussian time series under the Gaussian assumption. The analysis is based on the Gaussian autocorrelation computed from the transform of the sample autocorrelation. It is shown that this approach improves the linear autoregressive fit. We also use...

The bispectrum and third-order moment can be viewed as equivalent tools for testing for the presence of nonlinearity in stationary time series. This is because the bispectrum is the Fourier transform of the third-order moment. An advantage of the bispectrum is that its estimator comprises terms...