Authors: Dimitra Chatzi, Dikaios Tserkezos

Title: TESTING THE LINEARITY OF TIME SERIES

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.