Portmanteau tests for linearity of stationary time series |
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| Authors: | Zacharias Psaradakis Marián Vávra |
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| Affiliation: | 1. Department of Economics, Mathematics and Statistics, Birkbeck, University of London, London, UK;2. Advisor to the Governor and Research Department, National Bank of Slovakia, Bratislava, Slovakia |
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| Abstract: | ![]()
This article considers the problem of testing for linearity of stationary time series. Portmanteau tests are discussed which are based on generalized correlations of residuals from a linear model (that is, autocorrelations and cross-correlations of different powers of the residuals). The finite-sample properties of the tests are assessed by means of Monte Carlo experiments. The tests are applied to 100 time series of stock returns. |
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| Keywords: | Autocorrelation cross-correlation nonlinearity portmanteau test stock returns |
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