Inferensi
Vol 3, No 1 (2020): Inferensi

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

Hendri Prabowo (Department of Statistics, Institut Teknologi Sepuluh Nopember)
Suhartono Suhartono (Department of Statistics, Institut Teknologi Sepuluh Nopember)
Dedy Dwi Prastyo (Department of Statistics, Institut Teknologi Sepuluh Nopember)

Article Info

Publish Date
30 Mar 2020

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.

Copyrights © 2020




Citation Download
RIS
EndNote, Reference Manager, ProCite
BibTex
Latex, Jabref
Original Source
Download Original
Google Scholar
Check in Google Scholar
Journal Info
Inferensi
Website

Abbrev

inferensi

Publisher

Institut Teknologi Sepuluh Nopember Surabaya

Subject

Computer Science & IT Decision Sciences, Operations Research & Management Engineering Mathematics Social Sciences

Description

The aim of Inferensi is to publish original articles concerning statistical theories and novel applications in diverse research fields related to statistics and data science. The objective of papers should be to contribute to the understanding of the statistical methodology and/or to develop and ...