Testing Linearity For Stationary Time Series Using the Sample Interquartile Range

J. Yuan

Journal of Time Series Analysis, 2000, vol. 21, issue 6, 713-722

Abstract: We consider the size and power of Hinich's linearity test and propose a modification. The modified test also uses the sample interquartile range, but it tests the equality of location parameters and the critical value does not depend on any unknown parameter. The limitation of the sample interquartile range as a measure of deviation from the null hypothesis is discussed.

Date: 2000
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