Efthymios G Pavlidis and Mike Tsionas (2017), "The Spurious Effect of ARCH Errors on Linearity Tests: A Theoretical 
Note and an Alternative Maximum Likelihood Approach", Studies in Nonlinear Dynamics and Econometrics

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The folder RScripts contains R functions that implement the LS, HC, and WB linearity tests, and two scripts: one for the size and one for 
the power experiments. The two scripts can be modified in a straightforward manner (by simply changing the value of the ARCH coefficient and
 the sample size) to replicate the simulation experiments of Section 3.1.

The folder EScripts contains Eviews programmes that compute the empirical size and the empirical size-adjusted power of the 
ML linearity test. 

Note that the power experiments require as input the critical values generated by the size experiments.  

