Barnett, Adrian G; Wolff, Rodney - School of Economics and Finance, Business School - 2003
The bispectrum and third-order moment can be viewed as equivalent tools for testing for the presence of non …-linearity in stationary time series. This is because the bispectrum is the Fourier transform of the third order moment. An … under the null hypothesis of linearity. An advantage of the third order moment is that its values at any subset of joint …