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HINICHTEST: RATS procedure to perform Hinich test for linearity and Gaussianity

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Performs the Hinich bispectrum test for linearity and Gaussianity. Hinich and Patterson (1989), "Evidence of nonlinearity in the trade-by-trade stock market return generating process", in Economic Complexity: Chaos, Sunspots, Bubbles and Nonlinearity, Barnett, Geweke and Shell, eds. Cambridge University Press.

Suggested Citation

  • Tom Doan, "undated". "HINICHTEST: RATS procedure to perform Hinich test for linearity and Gaussianity," Statistical Software Components RTS00088, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00088
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/hinichtest.src
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    Keywords

    Non-linearity tests; RATS;

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