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Portmanteau Tests for Linearity of Stationary Time Series

Author

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  • Zacharias Psaradakis

    (Birkbeck, University of London)

  • Marián Vávra

    (National Bank of Slovakia)

Abstract

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.

Suggested Citation

  • Zacharias Psaradakis & Marián Vávra, 2015. "Portmanteau Tests for Linearity of Stationary Time Series," Birkbeck Working Papers in Economics and Finance 1514, Birkbeck, Department of Economics, Mathematics & Statistics.
    • Handle: RePEc:bbk:bbkefp:1514
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    File URL: https://eprints.bbk.ac.uk/id/eprint/15265
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    References listed on IDEAS

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    1. November Reading
      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2016-11-04 20:28:00

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    Cited by:

    1. Grivas, Charisios, 2021. "An Automatic Portmanteau Test For Nonlinear Dependence," MPRA Paper 114312, University Library of Munich, Germany, revised 22 Aug 2022.

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    More about this item

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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