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Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent

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  • Rickard Sandberg
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    Abstract

    In this paper, we derive asymptotic distributions for linearity tests in time-varying smooth transition autoregressive models in the presence of a unit root. The limiting distributions are non-standard because of the unit root assumption, and it is shown that the linearity hypothesis is rejected far too often (up to 30.9% of the times at a 5% significance level) when using critical values from a chi-square distribution. Copyright The Author(s). Journal compilation Royal Economic Society 2008

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    Bibliographic Info

    Article provided by Royal Economic Society in its journal Econometrics Journal.

    Volume (Year): 11 (2008)
    Issue (Month): 3 (November)
    Pages: 638-647

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    Handle: RePEc:ect:emjrnl:v:11:y:2008:i:3:p:638-647

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    Cited by:
    1. Kaufmann, Hendrik & Kruse, Robinson & Sibbertsen, Philipp, 2012. "On tests for linearity against STAR models with deterministic trends," Economics Letters, Elsevier, vol. 117(1), pages 268-271.
    2. Yamin Ahmad & Ming Chien Lo & Olena Mykhaylova, 2012. "Causes of Nonlinearities in low order models of the real exchange rate," Working Papers 12-01, UW-Whitewater, Department of Economics, revised Mar 2013.

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