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A simple test for linearity against exponential smooth transition models with endogenous variables

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  • Massacci, Daniele

Abstract

This paper proposes a test for linearity against exponential smooth transition models with endogenous right-hand-side variables: to the very best of our knowledge, this class of models is new to the literature. By Monte Carlo analysis the test is shown to have good finite sample properties.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 117 (2012)
Issue (Month): 3 ()
Pages: 851-856

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Handle: RePEc:eee:ecolet:v:117:y:2012:i:3:p:851-856

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Exponential smooth transition model; Endogeneity; Linearity test;

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  1. van Dijk, D.J.C. & Terasvirta, T. & Franses, Ph.H.B.F., 2000. "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Research Papers EI 2000-23/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  2. Waldyr Dutra Areosa & Michael McAleer & Marcelo Cunha Medeiros, 2010. "Moment-based estimation of smooth transition regression models with endogenous variables," Textos para discussão 571, Department of Economics PUC-Rio (Brazil).
  3. Caner, Mehmet & Hansen, Bruce E., 2004. "Instrumental Variable Estimation Of A Threshold Model," Econometric Theory, Cambridge University Press, vol. 20(05), pages 813-843, October.
  4. Andros Kourtellos & Thanasis Stengos & Chih Ming Tan, 2011. "Structural Threshold Regression," University of Cyprus Working Papers in Economics 13-2011, University of Cyprus Department of Economics.
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Cited by:
  1. Massacci, Daniele, 2013. "A variable addition test for exogeneity in structural threshold models," Economics Letters, Elsevier, vol. 120(1), pages 5-9.

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