Hui, Yongchang and Wong, WingKeung and BAI, ZHIDONG and Zhu, ZhenZhen (2017): A New Nonlinearity Test to Circumvent the Limitation of Volterra Expansion with Application. Forthcoming in: Journal of the Korean Statistical Society (2017)

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Abstract
In this paper, we propose a quick and efficient method to examine whether a time series ${X}_t$ possesses any nonlinear feature by testing a kind of dependence remained in the residuals after fitting ${X}_t$ with a linear model. The advantage of our proposed nonlinearity test is that it is not required to know the exact nonlinear features and the detailed nonlinear forms of the variable being examined. Another advantage of our proposed test is that there is no overrejection problem which exists in some famous nonlinearity tests. Our proposed test can also be used to test whether the hypothesized model, including linear and nonlinear, to the variable being examined is appropriate as long as the residuals of the model being used can be estimated. Our simulation study shows that our proposed test is stable and powerful. We apply our proposed statistic to test whether there is any nonlinear feature in the sunspot data. The conclusion drawn from our proposed test is consistent with those from other wellestablished tests.
Item Type:  MPRA Paper 

Original Title:  A New Nonlinearity Test to Circumvent the Limitation of Volterra Expansion with Application 
English Title:  A New Nonlinearity Test to Circumvent the Limitation of Volterra Expansion with Application 
Language:  English 
Keywords:  Nonlinearity, Dependence, Nonlinear test, Dependent test, Volterra expansion, Sunspots 
Subjects:  C  Mathematical and Quantitative Methods > C0  General > C01  Econometrics C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General 
Item ID:  79692 
Depositing User:  WingKeung Wong 
Date Deposited:  14 Jun 2017 08:30 
Last Modified:  14 Jun 2017 08:32 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/79692 