 Results for Multivariate Tests of Nonlinearity
 
Obtained with IMSL routine DRHPTE:
W-L  = Wilks Lambda with Rao's approximation
H-Tr = Hotelling trace
P-Tr = Pillai trace

SM = Semi multivariate version of Tsay's ariginal test of nonlinearity of each series
Univ = Univariate tests
 
Number of series and number of observations:               2     66
 Number of lags used in test:                         4
 
          Number of                                       Degrees of Freedom        W-L        H-Tr        P-Tr
 Test    Observations        W-L        H-Tr      P-Tr       Num.      Den.        P-value    P-value    P-value
 ---------------------------------------------------------------------------------------------
 
 MVTsay       66             0.042368  8.887601  1.538714        36         18      .027956    .022838    .046962
 MVKeen       66             0.571851  0.747338  0.428931         2         52      .000009    .000005    .000043
 LRT          66             0.042368  8.887601  1.538714        36         18      .027956    .022838    .046962
 Univ.        66      1      3.191435                            10         52      .002917
 Univ.        66      2      3.146127                            10         52      .003253
 SM.          66      1      2.690993                            36         22      .008312
 SM.          66      2      1.357533                            36         22      .226697
