Nonlinearity Tests for Time Series
- 1 August 1986
- journal article
- Published by JSTOR in Biometrika
- Vol. 73 (2) , 461-466
- https://doi.org/10.2307/2336223
Abstract
This paper considers two nonlinearity tests for stationary time series. The idea of Tukey's one degree of freedom for nonadditivity test is generalized to the time series setting. The case of concurrent nonlinearity is discussed in detail. Simulation results show that the proposed tests are more powerful than that of Keenan (1985).Keywords
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