Psaradakis, Zacharias and Vavra, Marian (2019) Portmanteau tests for linearity of stationary time series. Econometric Reviews 38 (2), pp. 248-262. ISSN 0747-4938.
|
Text
Qtest-ER.pdf - Author's Accepted Manuscript Download (411kB) | 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: | 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 Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Zacharias Psaradakis |
| Date Deposited: | 17 Jan 2017 14:57 |
| Last Modified: | 02 Aug 2023 17:27 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/16620 |
Statistics
Additional statistics are available via IRStats2.
Archive Staff Only (login required)
