Are there nonlinearity tests in Eviews?

[PERRYGOGAS]

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

[EViews Glenn]

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]

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]

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

[trubador]

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]

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.