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    Portmanteau tests for linearity of Stationary Time Series

    Psaradakis, Zacharias and Vavra, Marian (2015) Portmanteau tests for linearity of Stationary Time Series. Working Paper. Birkbeck College, University of London, London, UK.

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    Abstract

    This paper considers the problem of testing for linearity of stationary time series. Portmanteau tests are discussed which are based on generalized correlations of residuals from a linear model (that is, autocorrelations and cross-correlations of different powers of the residuals). The finite-sample properties of the tests are assessed by means of Monte Carlo experiments. The tests are applied to 100 time series of stock returns.

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: ISSN 1745-8587: BWPEF 1514
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 20 May 2016 08:58
    Last Modified: 20 May 2016 08:58
    URI: http://eprints.bbk.ac.uk/id/eprint/15265

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