Testing for time series linearity

DOI10.1111/J.1368-423X.2007.00203.XMaRDI QIDQ3594916zbMATH OpenOpenAlexFDO

Authors David I. Harvey, Stephen Leybourne

Publication date 9 August 2007

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1368-423x.2007.00203.x

zbMATH Keywords

nonlinearity testingtablesWald test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Nonlinear mean reversion in real exchange rates.
• Testing for a unit root in the nonlinear STAR framework
• Trend Function Hypothesis Testing in the Presence of Serial Correlation

Cited in

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• Statistical tests of stochastic process models used in the financial theory of insurance companies
• On tests for linearity against STAR models with deterministic trends
• Linearity tests and stochastic trend under the STAR framework
• Performance of unit-root tests for non linear unit-root and partial unit-root processes
• Linearity tests under the null hypothesis of a random walk with drift
• Testing for nonlinear deterministic components when the order of integration is unknown
• Testing for efficiency and non-linearity in market and natural time series
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• Simple diagnostic tools for inverstigating linear trends in time series
• scientific article; zbMATH DE number 1069597 (Why is no real title available?)
• Tests of Linear and Logarithmic Transformations for Integrated Processes
• A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models
• Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives
• Nonparametric tests of linearity for time series
• scientific article; zbMATH DE number 1396256 (Why is no real title available?)
• Modelling nonlinearities in equity returns: the mean impact curve analysis
• A SIMPLE TEST OF NORMALITY FOR TIME SERIES
• Portmanteau tests for linearity of stationary time series
• A consistent nonparametric test of ergodicity for time series with applications
• Unit-roots test for time-series data with a linear time trend
• A bootstrap test for time series linearity

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