The aim of this study is to discuss
the properties of squares of a pure diagonal bilinear (PDBL) time series
model and how these properties can be used to distinguish between a linear
(ARMA) model and a non-linear (bilinear) model. We showed that for the
Pure diagonal bilinear process, the square of the series have the same
covariance structure as an ARMA process. Simulated data was used to illustrate
the results obtained in this study.