id	author	title	date	pages	extension	mime	words	sentences	flesch	summary	cache	txt
cord-121057-986xoy22	Mahdi, Esam	Simultaneous Diagnostic Testing for Linear-Nonlinear Dependence in Time Series	2020-08-18		.txt	text/plain	4230	213	57	In this respect, Engle (1982) showed that the classical portmanteau tests proposed by Box and Pierce (1970) and Ljung and Box (1978) , based on the autocorrelation function of the residuals, fail to detect the presence of the Autoregressive Conditional Heteroscedasticity, arch , in many financial time series models. In Section 2 we discuss the generalized correlations of residuals and review some test statistics that have been commonly used to detect nonlinearity structure in stationary time series models. In Section 3, we propose new goodness-of-fit (auto-and-cross-correlated) tests that can be used to detect, simultaneously, linear, bilinear, and nonlinear dependency in time series models, and derive their asymptotic distribution as a chi-squared distribution. In this article, we propose four goodness-of-fit tests to detect various types of linear and nonlinear dependency in stationary time series models.	./cache/cord-121057-986xoy22.txt	./txt/cord-121057-986xoy22.txt