Testing Non-linearity Using a Modified Q Test
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- Zacharias Psaradakis & Marian Vavra, 2016. "Portmanteau Tests for Linearity of Stationary Time Series," Working and Discussion Papers WP 1/2016, Research Department, National Bank of Slovakia.
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More about this item
Keywordsnon-linearity testing; portmanteau Q test; auto-correlation; cross-correlation;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-04-03 (All new papers)
- NEP-ECM-2012-04-03 (Econometrics)
- NEP-ETS-2012-04-03 (Econometric Time Series)
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