BIROn - Birkbeck Institutional Research Online

    Portmanteau tests for linearity of stationary time series

    Psaradakis, Zacharias and Vavra, Marian (2019) Portmanteau tests for linearity of stationary time series. Econometric Reviews 38 (2), pp. 248-262. ISSN 0747-4938.

    Qtest-ER.pdf - Author's Accepted Manuscript

    Download (411kB) | Preview


    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.


    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


    Activity Overview
    6 month trend
    6 month trend

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item