The Performance Of Nonlinearity Tests On Asymmetric Nonlinear Time Series

Ahn, Eun S.; Lee, Jin Man

doi:10.1016/j.jeca.2012.02.002

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Power Comparison Results For Each Nonlinearity Test In Linear1

Introduction1

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2020

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“…In general, the results of research conducted indicate that Terasvirta test has greater power in the detection of nonlinearity than the other test. In a study conducted by Ahn et al [8] showed that Ramsey test in general has better power in the detection of nonlinearity and from research conducted by Lee et al [9]…”

Section: Power Comparison Results For Each Nonlinearity Test In Linearmentioning

confidence: 99%

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The Performance of Ramsey Test, White Test and Terasvirta Test in Detecting Nonlinearity

2020

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Abstrak-The objective of this research is to compare Ramsey test, White test and Terasvirta test in the identification of nonlinearity. Ramsey test is a test based on the regression specification error test. While White test and Terasvirta test are based on neural network models. The difference between White test and Terasvirta test is in determining its weight, White test based on random sampling, while Terasvirta test based on Taylor expansion. Simulation studies are carried out with various scenarios in each test by generating linear models, linear models with outliers and nonlinear models. The results of the simulation study showed that Terasvirta test had better power than Ramsey test and White test in detecting nonlinearity. Terasvirta test is also more sensitive to the presence of outliers in linear models.

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Section: Power Comparison Results For Each Nonlinearity Test In Linearmentioning

confidence: 99%

“…In general, from the previous research there is rarely any research comparing the power of the nonlinearity test. Previous research comparing several nonlinearity tests is Ahn et al [8]…”

Section: Introductionmentioning

confidence: 99%