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Hendri Prabowo
Department of Statistics, Institut Teknologi Sepuluh Nopember
Computer Science & IT Decision Sciences, Operations Research & Management Engineering Mathematics Social Sciences

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The Performance of Ramsey Test, White Test and Terasvirta Test in Detecting Nonlinearity Hendri Prabowo; Suhartono Suhartono; Dedy Dwi Prastyo
Inferensi Vol 3, No 1 (2020): Inferensi
Publisher : Department of Statistics ITS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.12962/j27213862.v3i1.6876

Abstract

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.
Co-Authors Dedy Dwi Prastyo Suhartono Suhartono