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A Note on Tests for Threshold‐Type Non‐Linearity in Open Loop Systems

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  • A. Sorour
  • H. Tong

Abstract

We have noted that the likelihood ratio test for non‐linearity in a univariate time series can be extended to single‐output–multiple‐input open loop systems. A simple extension of the cumulative sum test is also described. The performance of both tests has been examined with simulated data. Illustrations with various real data are included.

Suggested Citation

  • A. Sorour & H. Tong, 1993. "A Note on Tests for Threshold‐Type Non‐Linearity in Open Loop Systems," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 42(1), pages 95-104, March.
    • Handle: RePEc:bla:jorssc:v:42:y:1993:i:1:p:95-104
    DOI: 10.2307/2347412
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