Ramsey's RESET Test (Regression Specification Error Test) can be applied to test apparent non-linearity in a model. ARCH Model is used to care of if such non-linearity exists there in time series.

Ivette Luna,

Sure there is a statistical test.

Please, take a look at Hinich's very famous paper:

Hinich, M. J. ``Testing for Gaussianity and linearity of a stationary time series''. Journal of Time Series Analysis. v. 3, n. 3, p. 169--176, 1982.

There is a VERY GOOD implementation on HOSA (Higher order spectral analysis) MATLAB Toolbox. This toolbox is a complement for Nikia's book ``Higher order spectra analysis: A nonlinear signal processing framework''.

This toolbox is available in the following link:

http://www.mathworks.com/matlabcentral/fileexchange/3013-hosa-higher-order-spectral-analysis-toolbox

The Hinich's test is under the function ``glstat.m''. Please type ``help glstat'' in MATLAB's Command Window, or refer to HOSA Toolbox Manual for more information.

Regards,

Lucas.

hi,

it's very simple: you can apply the Augmented Disckey-Fuller test for unite root test.

the attached file give a detailed example of how to do so in R.

regards;

use the BDS test