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We have developed a new test for non‐linearity in time series data in discrete time. A comparative study has been conducted on Subba Rao, Gabr and Hinich's test, Keenan's test, Petruccelli and Davies test, and the new test. Both simulated and real data are used in the study. The implication for forecasting is briefly discussed.
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Chan et al. (1986) studied this question.
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