Abstract
We propose nonparametric time domain statistics to test time series nonlinearity. We show the asymptotic properties of our statistics for an autoregressive process and also discuss the asymptotic results for some kinds of nonlinear processes. Next, we show the power of our statistics for various time series and compare the power of our statistics with that of other well known nonparametric statistics proposed by McLeod and Li [7], Tsay [11] and Hjellvik and Tjøstheim [12] by simulation studies.
