English, Article, Journal or magazine article edition: Testing the linearity of a time series. Some Monte Carlo and Empirical Tests Efstratios Tserkezos; Dikaios Tserkezos

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Bookmark: http://trove.nla.gov.au/version/77030
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Testing the linearity of a time series. Some Monte Carlo and Empirical Tests
Author
  • Efstratios Tserkezos
  • Dikaios Tserkezos
Physical Description
  • preprint
Notes
  • 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.
  • Testing nonlinearity, Hinich portmanteau bicorrelation test, Keenan,Mcleodi-Li tests,ARCH and Luukkonen LST Test
  • RePEc:crt:wpaper:0827
Language
  • English
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