Detection of Nonlinear Autodependencies Using the Hiemstra-Jones Test

Witold Orzeszko ()
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Witold Orzeszko: Nicolaus Copernicus University, Toruń, Poland

Chapter 11 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2010, vol. 8, pp 157-170 from University of Lodz

Abstract: Chapter 11 by Orzeszko deals with testing for nonlinear dependencies in a single time series with the use of Hiemstra-Jones test. The results over a set of model specifications have shown that the proposed method may be a very useful tool in detecting nonlinearities in time series.

Keywords: Hiemstra-Jones test; Nonlinear autodependencies; Nonlinear time series modelling (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2010
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