Linearity tests and stationarity
AbstractThis paper shows that the asymptotic distributions of LM -type linearity tests against Smooth Transition Autoregressive (STAR) models, in the presence of a unit root, are non-standard and using standard χ 2 critical values may lead to incorrect inference as the tails of the distribution of tests will be thicker than the χ 2. This finding also indicates that one needs to test for stationarity prior to applying linearity tests. Copyright Royal Economic Socciety 2004
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Bibliographic InfoArticle provided by Royal Economic Society in its journal The Econometrics Journal.
Volume (Year): 7 (2004)
Issue (Month): 1 (06)
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- Aksoy Yunus & Leon-Ledesma Miguel A., 2008.
"Non-Linearities and Unit Roots in G7 Macroeconomic Variables,"
The B.E. Journal of Macroeconomics,
De Gruyter, vol. 8(1), pages 1-44, February.
- Yunus Aksoy & Miguel A. Leon-Ledesma, 2007. "Non-linearities and Unit Roots in G7 Macroeconomic Variables," Birkbeck Working Papers in Economics and Finance 0710, Birkbeck, Department of Economics, Mathematics & Statistics.
- Dilem Yildirim & Ralf Becker & Denise R Osborn, 2009. "Bootstrap Unit Root Tests for Nonlinear Threshold Models," The School of Economics Discussion Paper Series 0915, Economics, The University of Manchester.
- Sollis, Robert, 2008. "U.S. dollar real exchange rates: Nonlinearity revisited," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 516-528, June.
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