Portmanteau tests for linearity of stationary time series
研究平稳时间序列线性性的检验问题，讨论基于线性模型残差广义相关性的Portmanteau检验，通过蒙特卡洛实验评估其有限样本性质，并应用于100个股票收益率序列。
This article considers the problem of testing for linearity of stationary time series. Portmanteau tests are discussed which are based on generalized correlations of residuals from a linear model (that is, autocorrelations and cross-correlations of different powers of the residuals). The finite-sample properties of the tests are assessed by means of Monte Carlo experiments. The tests are applied to 100 time series of stock returns.