Abstract
There are many statistical tests for nonlinear serial dependence in the literature. Some focus on a particular property characteristic of nonlinear processes, such as conditional heteroskedasticity; some focus on a particular parametric family of models, as in the way the Tsay test considers quadratic models. Others, such as the Hinich tests, focus on particular moments. Still others, such as the BDS test, focus on more general measures of relatedness.
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Patterson, D.M., Ashley, R.A. (2000). Detecting Nonlinear Serial Dependence. In: A Nonlinear Time Series Workshop. Dynamic Modeling and Econometrics in Economics and Finance, vol 2. Springer, Boston, MA. https://doi.org/10.1007/978-1-4419-8688-7_2
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DOI: https://doi.org/10.1007/978-1-4419-8688-7_2
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