Portmanteau tests for linearity of stationary time series

Zacharias Psaradakis and Marian Vavra ()

Econometric Reviews, 2019, vol. 38, issue 2, 248-262

Abstract: This article 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.

Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/07474938.2016.1261015 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Portmanteau Tests for Linearity of Stationary Time Series (2016)
Working Paper: Portmanteau Tests for Linearity of Stationary Time Series (2015)
Working Paper: Testing Non-linearity Using a Modified Q Test (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:38:y:2019:i:2:p:248-262

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474938.2016.1261015

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().