New Non-Linearity Test to Circumvent the Limitation of Volterra Expansion
In this article we propose a quick, efficient, and easy method to detect whether a time series Yt possesses any nonlinear feature. The advantage of our proposed nonlinearity test is that it is not required to know the exact nonlinear features and the detailed nonlinear forms of Yt. Our proposed test could also be used to test whether the model, including linear and nonlinear, hypothesized to be used for the variable is appropriate as long as the residuals of the model being used could be estimated. Our simulation results show that our proposed test is stable and powerful while our illustration on Wolf's sunspots numbers is consistent with the findings from existing literature.
|Date of creation:||01 Aug 2012|
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- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
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- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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