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ANNNONLINTST: MATLAB function to perform nonlinearity test for univariate and multivariate time series

Author

Listed:
  • Shapour Mohammadi

    (University of Tehran)

Programming Language

MATLAB

Abstract

Nonlinearity test for univariate and multivariate time series. This Matlab code has been used in S. Mohammadi (ASA Data Sci Journal, 2019). The test is a generalization of Lee, Granger and White (1993) test. In addition to generalization to multivariate time series, some modifications are made in Mohammadi (2019) for increasing the power of Lee, Granger, and White (1993) test in the case of a univariate time series.

Suggested Citation

  • Shapour Mohammadi, 2020. "ANNNONLINTST: MATLAB function to perform nonlinearity test for univariate and multivariate time series," Statistical Software Components T7415017, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:t741517
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/a/AnnNonlinTst.m
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