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Biometrika 1986 73(2):461-466; doi:10.1093/biomet/73.2.461
© 1986 by Biometrika Trust
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Nonlinearity tests for time series

RUEY S. TSAY

Department of Statistics, Carnegie-Mellon University Pittsburgh, Pennsylvania 15213, U.S.A.

This paper considers two nonlinearity tests for stationary time series. The idea of Tukey's one degree of freedom for nonadditivity test is generalized to the time series setting. The case of concurrent nonlinearity is discussed in detail. Simulation results show that the proposed tests are more powerful than that of Keenan (1985).

Key Words: Concurrent nonlinearity • Nonlinear time series • Tukey's nonadditivity test • Vplterra expansion


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