Testing for time series linearity

DOI10.1111/J.1368-423X.2007.00203.XzbMath1116.62093OpenAlexW2079410054MaRDI QIDQ3594916

David I. Harvey, Stephen J. Leybourne

Publication date: 9 August 2007

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2007.00203.x

zbMATH Keywords

tablesWald testnonlinearity testing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03)

Related Items (7)

Linearity tests under the null hypothesis of a random walk with drift ⋮ A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models ⋮ On tests for linearity against STAR models with deterministic trends ⋮ Modelling nonlinearities in equity returns: the mean impact curve analysis ⋮ Linearity tests and stochastic trend under the STAR framework ⋮ A bootstrap test for time series linearity ⋮ Performance of unit-root tests for non linear unit-root and partial unit-root processes

Cites Work

• Nonlinear mean reversion in real exchange rates.
• Testing for a unit root in the nonlinear STAR framework
• Trend Function Hypothesis Testing in the Presence of Serial Correlation

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