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    Testing non-linearity using a modified Q test

    Vavra, Marian (2012) Testing non-linearity using a modified Q test. Working Paper. Birkbeck College, University of London, London, UK.

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    Abstract

    A new version of the Q test, based on generalized residual correlations (i.e. auto-correlations and cross-correlations), is developed in this paper. The Q test fixes two main shortcomings of the Mcleod and Li Q (MLQ) test often used in the literature: (i) the test is capable to capture some interesting non-linear models, for which the original MLQ test completely fails (e.g. a non-linear moving average model). Additionally, the Q test also significantly improves the power for some other non-linear models (e.g. a threshold moving average model), for which the original MLQ test does not work very well; (ii) the new Q test can be used for discrimination between simple and more complicated (non-linear/asymmetric) GARCH models as well.

    Metadata

    Item Type: Monograph (Working Paper)
    Keyword(s) / Subject(s): non-linearity testing, portmanteau Q test, auto-correlation, cross-correlation.
    School: Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School
    Depositing User: Administrator
    Date Deposited: 11 Jan 2013 13:17
    Last Modified: 02 Aug 2023 17:01
    URI: https://eprints.bbk.ac.uk/id/eprint/5955

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