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.
| Published in | Science Journal of Applied Mathematics and Statistics (Volume 3, Issue 4) |
| DOI | 10.11648/j.sjams.20150304.13 |
| Page(s) | 184-187 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2015. Published by Science Publishing Group |
Stationary, Unit Root, BDS Test, Linear Model, Non-Linear Model, Bank Savings
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APA Style
Akintunde, M. O., Oyekunle, J. O., Olalude G. A. (2015). Detection of Non-Linearity in the Time Series Using BDS Test. Science Journal of Applied Mathematics and Statistics, 3(4), 184-187. https://doi.org/10.11648/j.sjams.20150304.13
ACS Style
Akintunde; M. O.; Oyekunle; J. O.; Olalude G. A. Detection of Non-Linearity in the Time Series Using BDS Test. Sci. J. Appl. Math. Stat. 2015, 3(4), 184-187. doi: 10.11648/j.sjams.20150304.13
AMA Style
Akintunde, M. O., Oyekunle, J. O., Olalude G. A. Detection of Non-Linearity in the Time Series Using BDS Test. Sci J Appl Math Stat. 2015;3(4):184-187. doi: 10.11648/j.sjams.20150304.13
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Download@article{10.11648/j.sjams.20150304.13,
author = {Akintunde and M. O. and Oyekunle and J. O. and Olalude G. A.},
title = {Detection of Non-Linearity in the Time Series Using BDS Test},
journal = {Science Journal of Applied Mathematics and Statistics},
volume = {3},
number = {4},
pages = {184-187},
doi = {10.11648/j.sjams.20150304.13},
url = {https://doi.org/10.11648/j.sjams.20150304.13},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.sjams.20150304.13},
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.},
year = {2015}
}
TY - JOUR T1 - Detection of Non-Linearity in the Time Series Using BDS Test AU - Akintunde AU - M. O. AU - Oyekunle AU - J. O. AU - Olalude G. A. Y1 - 2015/07/06 PY - 2015 N1 - https://doi.org/10.11648/j.sjams.20150304.13 DO - 10.11648/j.sjams.20150304.13 T2 - Science Journal of Applied Mathematics and Statistics JF - Science Journal of Applied Mathematics and Statistics JO - Science Journal of Applied Mathematics and Statistics SP - 184 EP - 187 PB - Science Publishing Group SN - 2376-9513 UR - https://doi.org/10.11648/j.sjams.20150304.13 AB - 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. VL - 3 IS - 4 ER -
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