n <- 1000
x <- runif (1000, -1, 1) # Non-linear in ``mean'' regression
y <- x^2 - x^3 + 0.1*rnorm(x)
terasvirta.test (x, y)
terasvirta.test (cbind(x,x^2,x^3), y) # Is the polynomial of order 2 misspecified?
x[1] <- 0.0
for (i in (2:n)) # Generate time series which is nonlinear in ``mean''
{
x[i] <- 0.4*x[i-1] + tanh(x[i-1]) + rnorm (1, sd=0.5)
}
x <- as.ts(x)
plot (x)
terasvirta.test (x)
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