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On tests for non‐linearity in time series analysis
Author(s) -
Chan W. S.,
Tong H.
Publication year - 1986
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.3980050403
Subject(s) - series (stratigraphy) , linearity , test (biology) , statistics , time series , econometrics , mathematics , computer science , engineering , paleontology , electrical engineering , biology
We have developed a new test for non‐linearity in time series data in discrete time. A comparative study has been conducted on Subba Rao, Gabr and Hinich's test, Keenan's test, Petruccelli and Davies test, and the new test. Both simulated and real data are used in the study. The implication for forecasting is briefly discussed.