vol. 13 núm. 1 (2020)

Recently evidence about the existence of nonlinear structures in time series has been presented in the literature. Often tests are used to contrast linearity vs. nonlinearity. However, the presence of outliers can seriously distort the results (concluding erroneously that is endogenous nonlinearity in the data generating process). Through a simulation study, it is analyze the performance of three tests of nonlinearity when there are outliers. In addition, it is analyze if the series of prices of electricity in Colombia presents a nonlinear endogenous dynamic.