A joint test for arch and bilinearity in the regression model
提出一个同时检验ARCH效应和双线性性的联合检验统计量，用于判断回归模型误差过程的非线性。实证表明，单独检验可能不明确，而联合检验能清晰拒绝线性假设。
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.