Lagrange multiplier tests for testing non-linearities in time series models

Lagrange multiplier tests of linear autoregressive moving average time series models against bilinear and exponential autoregressive alternatives are derived. A simulation experiment is performed to check the validity of the asymptotic null distributions of the test statistics and to investigate the power properties of the tests. Two recent time domain tests are also included in the simulations and compared with the Lagrange multiplier tests of the paper.

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