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

Efstratios Tserkezos and Dikaios Tserkezos ()
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Efstratios Tserkezos: National Technological Institute of Athens
Dikaios Tserkezos: Department of Economics, University of Crete, Greece

No 827, Working Papers from University of Crete, Department of Economics

Abstract: 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.

Keywords: Testing nonlinearity; Hinich portmanteau bicorrelation test; Keenan; Mcleodi-Li tests; ARCH and Luukkonen LST Test (search for similar items in EconPapers)

Published in INTERNATIONAL WORKSHOP IN ECONOMICS AND FINANCE IWEF 2007

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Persistent link: http://EconPapers.repec.org/RePEc:crt:wpaper:0827

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