A New Bispectral Test for NonLinear Serial Dependence

DOI10.1080/07474930802388090zbMath1156.62060OpenAlexW2003473138MaRDI QIDQ3615089

Richard A. Ashley, Elena Rusticelli, Douglas M. Patterson, Estela Bee Dagum

Publication date: 17 March 2009

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930802388090

zbMATH Keywords

nonlinearitybispectrumsmoothing parameterinvariance propertylinear prefiltering proceduremaximization technique

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

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