Are there nonlinearity tests in Eviews?

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

PERRYGOGAS
Posts: 36
Joined: Sat Nov 01, 2008 12:22 pm

Are there nonlinearity tests in Eviews?

Postby PERRYGOGAS » Fri May 09, 2014 3:56 am

Are there any non-linearity tests for the data in Eviews?

EViews Glenn
EViews Developer
Posts: 2601
Joined: Wed Oct 15, 2008 9:17 am

Re: Are there nonlinearity tests in Eviews?

Postby EViews Glenn » Fri May 09, 2014 7:24 am

You'll have to be more specific with the question. Nonlinearity in what? There are at least a couple of tests for additional nonlinearity in regressions.

PERRYGOGAS
Posts: 36
Joined: Sat Nov 01, 2008 12:22 pm

Re: Are there nonlinearity tests in Eviews?

Postby PERRYGOGAS » Fri May 09, 2014 8:20 am

Hello Glen and thank you.

I need to test whether my dependent variable is generated by a non-linear process so that I can decide the type of models to use for further analysis.

EViews Glenn
EViews Developer
Posts: 2601
Joined: Wed Oct 15, 2008 9:17 am

Re: Are there nonlinearity tests in Eviews?

Postby EViews Glenn » Fri May 09, 2014 9:41 am

Your question is so general that I don't know that there are any tests for that hypothesis.

trubador
Did you use forum search?
Posts: 1518
Joined: Thu Nov 20, 2008 12:04 pm

Re: Are there nonlinearity tests in Eviews?

Postby trubador » Fri May 09, 2014 12:10 pm

Glenn is right. Unless you have a priori knowledge/information on the type of nonlinearity, it is very difficult to decide the specific form of the model. For instance, there are tests for STAR-type nonlinearities, but they are not built-in. Nevertheless, I believe BDS test could be of help (Series-->View-->BDS Independence test). You can also apply this test to the residuals to see if there is any non-linear dependence after the linear model has been fitted.

EViews Glenn
EViews Developer
Posts: 2601
Joined: Wed Oct 15, 2008 9:17 am

Re: Are there nonlinearity tests in Eviews?

Postby EViews Glenn » Sat May 10, 2014 7:48 am

To follow up on Trubador's comments The Ramsey RESET test and BDS would have power against nonlinear alternatives. The various forms of breakpoint testing also may be used to detect nonlinearities after a regression model has been fit. But I'm not certain that they'll give you much information on what model should be fit.


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 4 guests