This article analyzes the use of model selection criteria for detecting nonlinearity in the
residuals of a linear model. Model selection criteria are applied for finding the order of the
best autoregressive model fitted to the squared residuals of the linear model. If the order
selected is not zero, this is considered as an indication of nonlinear behavior. The BIC and
AIC criteria are compared to some popular nonlinearity tests in three Monte Carlo
experiments. We conclude that the BIC model selection criterion seems to offer a promising …