Portmanteau Tests for Linearity of Stationary Time Series

Zacharias Psaradakis and Marián Vávra
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Marián Vávra: National Bank of Slovakia
Authors registered in the RePEc Author Service: Marian Vavra ()

No 1514, Birkbeck Working Papers in Economics and Finance from Birkbeck, Department of Economics, Mathematics & Statistics

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.

JEL-codes: C12 C22 C52 (search for similar items in EconPapers)
Date: 2015-09
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https://eprints.bbk.ac.uk/id/eprint/15265 First version, 2015 (application/pdf)

Related works:
Journal Article: Portmanteau tests for linearity of stationary time series (2019)
Working Paper: Portmanteau Tests for Linearity of Stationary Time Series (2016)
Working Paper: Testing Non-linearity Using a Modified Q Test (2012)
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