| | | |

## A RESEARCH STUDY OF NONLINEARITY EXPERIENCING IN THE RATE OF CURRENT ACCOUNT DEFICIT TO THE BULGARIAN HEALTH AND CARE NATIONAL PRODUCT

#### Venelin TERZİEV [1] , Stoyanka PETKOVA GEORGİEVA [2]

called Regime Switching Models: TAR, SETAR, Markov Switching Model, etc. Usually, the behavior of time series exhibit breaks is associated with structural changes in government policy or financial crises. In the present research it is used as an example the calculated data about the rate of current account deficit to the Bulgarian Health and Care National Product. The series are hard to be modeling because of the structural change of the government policy about the Bulgarian Health and Care National Product. The basic hypothesis that is tested in the conducted research is that when there is a case of changes in the time series in their structure it is impossible the principles of linearity assumption to be applied. In the traditional econometrics as a science the linearity is an important assumption but there are practical evidences in which most of the time series do not provide this assumption. These cases of such time series behavior are called nonlinearity series. It is important to test the linearity assumption because of the differing between the ways of modeling the series in the case of linearity and nonlinearity using the date of the rate of current account deficit to the Bulgarian Health and Care National Product. If any series do not provide the linearity assumption and also have change in the structure then the case can be modeling with TAR, SETAR or Markov Switching Model. We provided the research by questioning whether there is nonlinearity in the rate of proportion of current account deficit to the Bulgarian Health and Care National Product and it is experienced with four nonlinearity tests: Kaplan Test, McLeod-Li test, BDS Test and Tzay Test.

Nonlinearity Experiencing, Kaplan Test, McLeod-Li test, BDS Test and Tzay Test
• Ashley, R.A., Patterson, D.M., (1998). Nonlinear Model Specifications/Diagnostics: Insights from a Battery of Nonlinearity Tests, 1998. Barnett, W.A., Gallant, R.A., Hinich, M.J., Jugeilges, A.J., Kaplan, D.T., Jensen, M.J., (1995), Robustness of Nonlinearity and Chaos Test to Measurement Error, Inference Method and Sample Size, Journal of Economic Behavior and Organization, 27, 301-320, 1995. Barnett, W.A., Gallant, R.A., Hinich, M.J., Jugeilges, A.J., Kaplan, D.T., Jensen M.J., (1996). An Experimental Desing To Compare Tests of Nonlinearity and Chaos, In Barnett W.A Kirman,A.P. and Salmon M. (Editors) Journal of Econometrics 77, 297-302, 1996. Barnett, W.A., Gallant, R.A., Hinich, M.J., Jugeilges, A.J., Kaplan, D.T., Jensen M.J., (1997). A Single Blind Controlled Competition among Test for Nonlinearity and Chaos, Journal of Econometrics, 77, 297-302, 1997. Brock, W.A, Hsieh, D.A., LeBaron, B, (2011). Nonlinear Dynamics, Chaos and Instability: Statistical Theory and Economic Evidence, MIT Press, Cambridge, Massachusetts, 2011. Cromwell, JB, Labys, WC., Teraza, M (2014), Univariate Tests for Time Series Models Sage, Thousand Oaks, Canada p.44, 2014. Granger, C.W.J., Terasvirta, T. (2013), Modeling Nonlinear Economic Relationships, Oxford University Press, 2013. Granger, C.W.J. (2010). Overview of Nonlinear Time Series Specifications in Economics, 2010. Hinich, M., Patterson, D.M. (2015), Detecting Epochs of Transient Dependence in White Noise, University of Texas at Austin, 2015. Kaplan, D.T. (1995а), Nonlinearity and No stationary: The Use of Surrogate Data in Interpreting Fluctuations, Center of Nonlinear Dynamics and Dept of Physiology McGill University Montreal, Canada, 1995. McLeod, Li (2013а), Diagnostic Checking of ARMA time Series Models Using Squared- Residual Autocorrelation, Journal of Time Series Analysis 4, 269-273, 2013. Patterson, D.M. and Ashley, R. (2000). A Nonlinear Time Series Workshop, Kluwer, Norwell, 2000. Sotirov, B., Sakakushev, B., Koriykov, Ts., Georgiev, Ts, Zhel, Zh. F, Popesku, G. (2010a). „Menidzhmant na kachestvoto i metrologiya“ - spetsialnost ot evropeyskoto obrazovatelno prostranstvo. // Standartizatsiya, Metrologiya, Sertifikatsiya, 2010, broy I, str. 25-28, ISSN 1310-0831 (Сотиров, Б., Сакакушев, Б., Корийков, Ц., Георгиев, Ц, Жел, Ж. Ф, Попеску, Г. „Мениджмънт на качеството и метрология“ - специалност от европейското образователно пространство. // Стандартизация, Метрология, Сертификация, 2010, брой I, стр. 25-28, ISSN 1310-0831). Potter, S.M., (1999). Nonlinear Impulse Response Functions, Federal Reserve Bank of New York. http://www.newyorkfed.org/research/staff_reports/sr87.pdf, 1999. Tzay, R. S, (2016). Nonlinearity Tests for Time Series, Biometrika 73, 461-466, 2016. Walter, E., Applied Econometrics Time Series, (2004). Second Edition p. 406, 2004.
Primary Language en Social Articles Author: Venelin TERZİEV Country: Bulgaria Author: Stoyanka PETKOVA GEORGİEVA Country: Bulgaria Publication Date : September 15, 2019
 EndNote %0 International E-Journal of Advances in Social Sciences A RESEARCH STUDY OF NONLINEARITY EXPERIENCING IN THE RATE OF CURRENT ACCOUNT DEFICIT TO THE BULGARIAN HEALTH AND CARE NATIONAL PRODUCT %A Venelin TERZİEV , Stoyanka PETKOVA GEORGİEVA %T A RESEARCH STUDY OF NONLINEARITY EXPERIENCING IN THE RATE OF CURRENT ACCOUNT DEFICIT TO THE BULGARIAN HEALTH AND CARE NATIONAL PRODUCT %D 2019 %J IJASOS- International E-journal of Advances in Social Sciences %P 2411-183X-2411-183X %V 5 %N 14 %R doi: 10.18769/ijasos.592334 %U 10.18769/ijasos.592334

Authors of the Article
[2]