Portmanteau Tests for Linearity of Stationary Time Series

Zacharias Psaradakis and Marian Vavra ()

No WP 1/2016, Working and Discussion Papers from Research Department, National Bank of Slovakia

Abstract: This paper considers the problem of testing for linearity of stationary time series. Portmanteau tests are discussed which are based on generalized correlations of residuals from a linear model (that is, autocorrelations and cross-correlations of different powers of the residuals). The finite-sample properties of the tests are assessed by means of Monte Carlo experiments. The tests are applied to 100 time series of stock returns.

Keywords: autocorrelation; cross-correlation; nonlinearity; Portmanteau test; stock returns (search for similar items in EconPapers)
JEL-codes: C12 C22 C52 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2016-05
New Economics Papers: this item is included in nep-ecm
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Related works:
Working Paper: Portmanteau Tests for Linearity of Stationary Time Series (2015)
Working Paper: Testing Non-linearity Using a Modified Q Test (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:svk:wpaper:1037

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