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Testing Linearity For Stationary Time Series Using the Sample Interquartile Range
Author(s) -
Yuan J.
Publication year - 2000
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00206
Subject(s) - interquartile range , mathematics , range (aeronautics) , linearity , statistics , sample size determination , sample (material) , series (stratigraphy) , null hypothesis , econometrics , thermodynamics , physics , materials science , paleontology , quantum mechanics , biology , composite material
We consider the size and power of Hinich's linearity test and propose a modification. The modified test also uses the sample interquartile range, but it tests the equality of location parameters and the critical value does not depend on any unknown parameter. The limitation of the sample interquartile range as a measure of deviation from the null hypothesis is discussed.