Hellenic Open University Conferences, International Conference on Business & Economics of the Hellenic Open University 2016

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TESTING THE LINEARITY OF TIME SERIES
Dimitra Chatzi, Dikaios Tserkezos

##manager.scheduler.building##: Titania
##manager.scheduler.room##: Platon
Date: 2016-04-23 02:00 PM – 04:00 PM
Last modified: 2016-05-25

Abstract


This letter proposes a simple test for the linearity of a time series. We compare the small and large samples properties of the suggested test via Monte Carlo techniques  with well known  time domain linearity tests. Our results suggest that the suggested test  over performs the power of the  other competitive tests in small   samples.

 

Key words: Testing  nonlinearity, Hinich portmanteau bicorrelation test, Keenan,

Mcleodi-Li tests,.ARCH   and   Luukkonen LST  Test.

 


Keywords


Testing nonlinearity, Hinich portmanteau bicorrelation test, Keenan, Mcleodi-Li tests,.ARCH and Luukkonen LST Test.

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