TsayNLTest—Tsay's test for non-linearities in an autoreg

[spollard777]

In using TsayNL, the m and l values are the same. Does l refer to the length of the delay? It is not clear why l and m are the same. In the multivariate case they seem to be allowed to be different as you have presented it.

Stephen Pollard

[TomDoan]

In using TsayNL, the m and l values are the same. Does l refer to the length of the delay? It is not clear why l and m are the same. In the multivariate case they seem to be allowed to be different as you have presented it.

Stephen Pollard

There's no real sense of a "delay" in the Tsay test. Instead, it's a test between a linear AR and a non-linear version of the same set of regressors, hence it includes just the interaction terms between the original regressors. If you're looking for a test against STAR with a specific delay, use STARTEST instead; the LST variant in TSAYNLTEST is much less focused on such a specific alternative.

[spollard777]

Thanks, the STARTEST is what I was looking for.

Stephen Pollard