8-6 1.2 Testing for Non-linearity The“ traditional” tools of time series analysis(acf’s, spectral analysis)may find no evidence that we could use a linear model, but the data may still not be independent. General test( Portmanteau多用途 tests) for non- - linear dependence have been developed. The simplest is Ramseys RESET test (chapter 4) Many other non-linearity tests are available the bds test(19:检验数据是否是纯随机的。 Eview4提供 The bispectrum test(Hinich, 1982) bicorrelation test(Hsieh, 1993; Hinich, 1996) One particular non-linear model that has proved very useful in finance is the arch model due to Engle 1982. Specific tests to find specific types of non-linear structure8-6 1.2 Testing for Non-linearity • The “traditional” tools of time series analysis (acf’s, spectral analysis) may find no evidence that we could use a linear model, but the data may still not be independent. • General test (Portmanteau 多 用 途 tests) for non-linear dependence have been developed. The simplest is Ramsey’s RESET test (chapter 4). • Many other non-linearity tests are available. the BDS test(1996) :检验数据是否是纯随机的。Eview4提供 The bispectrum test (Hinich,1982) bicorrelation test (Hsieh, 1993; Hinich,1996) • One particular non-linear model that has proved very useful in finance is the ARCH model due to Engle (1982). • Specific tests : to find specific types of non-linear structure