Nonlinearity tests in time series analysis |
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| Authors: | Marcella Corduas |
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| Affiliation: | (1) Università di Cassino and Centro di Specializzazione e Ricerche, Portici;(2) Istituto Economico-Finanziario, Università di Napoli Federico II, Via G. Sanfelice 47, 80134 Napoli, Italy |
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| Abstract: | Summary It is widely recognized that the class of ARIMA models may fail to capture fully the dynamics of real phenomena since these
are often characterized by strong nonlinear components. Thus, it is important that any preliminary analysis (or evaluation
of model adequacy) includes a check on the linearity of the generating process. The paper reviews recent developments in the
theory of testing nonlinearity in time series analysis. |
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| Keywords: | linearity tests nonlinear time series |
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