Wolff, Rodney C; Barnett, Adrian G - School of Economics and Finance, Business School - 2006
The bispectrum and third-order moment can be viewed as equivalent tools for testing for the presence of nonlinearity in … stationary time series. This is because the bispectrum is the Fourier transform of the third-order moment. An advantage of the … hypothesis of linearity. An advantage of the third-order moment is that its values in any subset of joint lags can be used in the …