A Tukey nonadditivity-type test for time series nonlinearity

Abstract

The most general form of a nonlinear strictly stationary process is that referred to as a Volterra expansion; this is to a linear process what a polynomial is to a linear function. Because of this similarity, an analogue of Tukey's one degree of freedom for non-additivity test is constructed as a test for linearity versus a second-order Volterra expansion.