
Good afternoon, everyone I have a question about terasvirta test in "fNonlinear" and "tseries" packages. I have a stationary timeseries of stock returns, that I have proved with adf.test, kpss.test and pp.test. All three tests showed that the timeseries is stationary, so, it means that the mean of this series is constant and so on. After that, I tried to use a terasvirta test and it has shown the very small pvalue (Chisquared: 0.0002348, F: 0.0002395), so I should reject the the H0 hypothesis of linearity in "mean" but how this can happen? The timeseries is stationary, so the mean is constant and that means that there is no nonlinearity in mean at all...Am I right? The White test showed almost the same. The original timeseries is a stock market quotes but on the original series (before taking differences) the terasvirta test show the pvalue = 0.3447... This is a little bit strange I think
Moreover, I would like to ask you to write some packages that can help me to test the linearity in "mean"... I could not find anything except terasvirta test and white test and I am a bit confused about Keenan and Tsay tests, because I'm not surewhether they test linearity in "mean" or linearity in "variance".
Thanks a lot!
