Detection of Non-Linearity in the Time Series Using BDS Test
Science Journal of Applied Mathematics and Statistics
Volume 3, Issue 4, August 2015, Pages: 184-187
Received: May 7, 2015; Accepted: Jun. 16, 2015; Published: Jul. 6, 2015
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Authors
Akintunde, M. O., Department of Statistics, School of applied Sciences, Federal Polytechnic, Ede, Osun State, Nigeria
Oyekunle, J. O., Department of Statistics, School of applied Sciences, Federal Polytechnic, Ede, Osun State, Nigeria
Olalude G. A., Department of Statistics, School of applied Sciences, Federal Polytechnic, Ede, Osun State, Nigeria
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Abstract
The need to determine the status of the series is a very important issue that must be addressed before embarking on the statistical analysis of such series; this paper therefore, examines the status of the commercial bank savings in Nigeria. From the analysis we discovered that at level the series was not stationary as shown in figure 1, however at the first difference (figure 2) the series was stationary, so also the unit root test applied shows that at level the series was not stationary (table 1) but at first difference it was stationary (table 2) and this actually paved way for the application of Brock- Dechert-Scheinkman (table 3) test which actually revealed that this series could be best estimated by the use of non-linear model as the null hypothesis of linearity of the series was out rightly rejected and the alternative was accepted. The importance of this result lies on the fact that it guides against model misspecification as using linear model to estimate the parameter of the non-linear model will result in model judgmental error.
Keywords
Stationary, Unit Root, BDS Test, Linear Model, Non-Linear Model, Bank Savings
To cite this article
Akintunde, M. O., Oyekunle, J. O., Olalude G. A., Detection of Non-Linearity in the Time Series Using BDS Test, Science Journal of Applied Mathematics and Statistics. Vol. 3, No. 4, 2015, pp. 184-187. doi: 10.11648/j.sjams.20150304.13
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