A joint test for arch and bilinearity in the regression model
- 1 January 1988
- journal article
- research article
- Published by Taylor & Francis in Econometric Reviews
- Vol. 7 (2) , 171-181
- https://doi.org/10.1080/07474938808800151
Abstract
In this paper we argue that a simultaneous test for ARCH and bilinearity should be used to test for the possible nonlinearity of the error process in the regression model. We suggest such a joint test statistic. An empirical example shows that the individual tests of ARCH and bilinearity may not be conclusive while a joint test clearly rejects the linearity hypothesis. Our results are also applicable to pure time series models.Keywords
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