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    Portmanteau tests for linearity of stationary time series

    Psaradakis, Zacharias and Vavra, Marian (2016) Portmanteau tests for linearity of stationary time series. Econometric Reviews , ISSN 0747-4938. (In Press)

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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: Article
    Additional Information: This is an Accepted Manuscript of an article published by Taylor & Francis, available online at the link above.
    Keyword(s) / Subject(s): Autocorrelation, cross-correlation, nonlinearity, portmanteau test, stock returns
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Zacharias Psaradakis
    Date Deposited: 17 Jan 2017 14:57
    Last Modified: 19 Nov 2017 01:10
    URI: http://eprints.bbk.ac.uk/id/eprint/16620

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