A joint test for arch and bilinearity in the regression model

M. L. Higgins, A. K. Bera

Research output: Contribution to journalArticlepeer-review


In this paper we argue that a simultaneous test for ARCH and bilinearity should be used to test for the possible nonlinearity of the error process in the regression model. We suggest such a joint test statistic. An empirical example shows that the individual tests of ARCH and bilinearity may not be conclusive while a joint test clearly rejects the linearity hypothesis. Our results are also applicable to pure time series models.

Original languageEnglish (US)
Pages (from-to)171-181
Number of pages11
JournalEconometric Reviews
Issue number2
StatePublished - 1998


  • ARCH
  • Additivity
  • Bilinearity
  • Lagrange multiplier test

ASJC Scopus subject areas

  • Economics and Econometrics


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