Perform Tsay (1986) nonlinearity test.
Tsay(y, p = 1)
The function outputs the F statistic, p value, and the degrees of freedom. The null hypothesis is there is no nonlinearity.
Tsay, R. (1986) Nonlinearity tests for time series. Biometrika 73(2), 461-466.
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Non-linearity test & its p-value: 250.4373 0 Degrees of freedom of the test: 3 1994
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