On tests for non‐linearity in time series analysis
- 1 October 1986
- journal article
- research article
- Published by Wiley in Journal of Forecasting
- Vol. 5 (4) , 217-228
- https://doi.org/10.1002/for.3980050403
Abstract
We have developed a new test for non‐linearity in time series data in discrete time. A comparative study has been conducted on Subba Rao, Gabr and Hinich's test, Keenan's test, Petruccelli and Davies test, and the new test. Both simulated and real data are used in the study. The implication for forecasting is briefly discussed.Keywords
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