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) |
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| Additional Information: | ISSN 1745-8587: BWPEF 1514 |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 20 May 2016 08:58 |
| Last Modified: | 07 Jun 2025 04:03 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/15265 |
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