A joint test for arch and bilinearity in the regression model
Higgins, M. L.; Bera, A. K.; Higgins, M. L.; Department of Economics, University of Wisconsin-Milwaukee; Bera, A. K.; Department of Economics, University of Illinois
Журнал:
Econometric Reviews
Дата:
1998
Аннотация:
In this paper we argue that a simultaneous test for ARCH and bilinearity should be used to test for the possible nonlinearity of the error process in the regression model. We suggest such a joint test statistic. An empirical example shows that the individual tests of ARCH and bilinearity may not be conclusive while a joint test clearly rejects the linearity hypothesis. Our results are also applicable to pure time series models.
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