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Nonlinearity Tests For Bilinear Time Series Data

Ibrahim Mohamed, Ibrahim Mohamed and Azami Zaharim, Azami Zaharim and Mohd. Sahar Yahya, Mohd. Sahar Yahya (2005) Nonlinearity Tests For Bilinear Time Series Data. Jurnal Teknologi (C) , 42 (C). pp. 1-10. ISSN 0127-9696

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Abstract

This Paper Discusses Two Nonlinearity Tests In Time Series Analysis, Which Are The Keenan’s Test And F-Test. The Tests Are Based On Time Domain Approach And Are Computationally Less Complex Than The Frequency Domain Approach. Both Tests Are Especially Suitable For Data Generated From Bilinear Model As Both Can Be Expressed In Volterra Expansion Form. In This Study, Programs For Both Tests Are Developed In S-Plus 2000 Package. Through Simulation Studies, It Will Be Shown That The Tests Work Well To Distinguish Linear From Nonlinear Data Set Generated From Bilinear Model. The Nonlinearity Tests Were Applied On Four Real Data Sets Which Have Nonlinear Characteristics And The Results Obtained Are Desirable.

Item Type:Article
Uncontrolled Keywords:Keenan’s Test, F-Test, Nonlinearity Test, Bilinear
Subjects:Q Science > Q Science (General)
ID Code:1791
Deposited By: En Mohd. Nazir Md. Basri
Deposited On:19 Mar 2007 05:11
Last Modified:01 Jun 2010 02:58

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