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.
|
Text
15265.pdf - Published Version of Record Available under License Creative Commons Attribution. Download (401kB) | Preview |
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 Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 20 May 2016 08:58 |
| Last Modified: | 02 Aug 2023 17:24 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/15265 |
Statistics
Additional statistics are available via IRStats2.
Archive Staff Only (login required)
 |
Edit/View Item |