Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent
AbstractIn 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 InfoArticle provided by Royal Economic Society in its journal Econometrics Journal.
Volume (Year): 11 (2008)
Issue (Month): 3 (November)
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- Kaufmann, Hendrik & Kruse, Robinson & Sibbertsen, Philipp, 2012.
"On tests for linearity against STAR models with deterministic trends,"
Elsevier, vol. 117(1), pages 268-271.
- Hendrik Kaufmann & Robinson Kruse & Philipp Sibbertsen, 2012. "On tests for linearity against STAR models with deterministic trends," CREATES Research Papers 2012-20, School of Economics and Management, University of Aarhus.
- Kaufmann, Hendrik & Kruse, Robinson & Sibbertsen, Philipp, 2012. "On tests for linearity against STAR models with deterministic trends," Hannover Economic Papers (HEP) dp-492, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- 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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