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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