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A New Bispectral Test for Nonlinear Serial Dependence

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Author Info
Elena Rusticelli
Richard A. Ashley
Estela Bee Dagum
Douglas M. Patterson
Abstract

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File URL: http://ashleymac.econ.vt.edu/working_papers/maximal_bispectral.pdf
File Format: application/pdf
File Function: First version, 2005
Download Restriction: no

Publisher Info
Paper provided by Virginia Polytechnic Institute and State University, Department of Economics in its series Working Papers with number e06-6.

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Length: 18 pages
Date of creation: 2006
Date of revision:
Handle: RePEc:vpi:wpaper:e06-6

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Postal: Blacksburg, Virginia 24061
Web page: http://www.econ.vt.edu
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Related research
Keywords: Bispectrum; nonlinearity; time series analysis;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. repec:att:wimass:199520 is not listed on IDEAS
  2. William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen, 1996. "A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos," Econometrics 9602005, EconWPA, revised 20 Sep 1996. [Downloadable!]
    Other versions:
  3. Ashley, Richard A & Patterson, Douglas M, 1989. "Linear versus Nonlinear Macroeconomies: A Statistical Test," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(3), pages 685-704, August. [Downloadable!] (restricted)
  4. Pedro JF de Lima, 1996. "Nonlinearities and Nonstationarities in Stock Returns," Economics Working Paper Archive 360, The Johns Hopkins University,Department of Economics.
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This page was last updated on 2009-11-5.

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