A note on tests for nonlinearity in a vector time series

Document Type

Article

Publication Date

1-1-1999

Abstract

A multivariate extension of the univariate nonlinearity test of Tsay (1986) is presented. Simulation results show that the multivariate test is more powerful than its univariate counterpart, especially for series having nonlinear structure involving several components of the vector process and weakly or moderately cross-correlated process error terms. For illustration, the test is applied to a set of seasonally adjusted quarterly capital expenditures and appropriations in U.S. manufacturing and a vector nonlinear model for the data is constructed. . © 1999 Biometrika Trust.

Identifier

0013450593 (Scopus)

Publication Title

Biometrika

External Full Text Location

https://doi.org/10.1093/biomet/86.3.728

ISSN

00063444

First Page

728

Last Page

734

Issue

3

Volume

86

This document is currently not available here.

Share

COinS