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On tests for linearity against STAR models with deterministic trends

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  • Hendrik Kaufmann

    ()
    (Leibniz University Hannover)

  • Robinson Kruse

    ()
    (Leibniz University Hannover and CREATES)

  • Philipp Sibbertsen

    ()
    (Leibniz University Hannover and CREATES)

Abstract

Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this paper. As opposed to recently reported results in Zhang (2012), we show that linearity tests against STAR models lead to useful results in this setting.

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Bibliographic Info

Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2012-20.

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Length: 10
Date of creation: 08 May 2012
Date of revision:
Handle: RePEc:aah:create:2012-20

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Web page: http://www.econ.au.dk/afn/

Related research

Keywords: Nonlinearity; Smooth transition; Deterministic trend;

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  1. Rickard Sandberg, 2008. "Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent," Econometrics Journal, Royal Economic Society, vol. 11(3), pages 638-647, November.
  2. Robinson Kruse & Michael Frömmel & Lukas Menkhoff & Philipp Sibbertsen, 2009. "What do we know about real exchange rate non-linearities?," CREATES Research Papers 2009-50, School of Economics and Management, University of Aarhus.
  3. Peel, David & Sarno, Lucio & Taylor, Mark P, 2001. "Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles," CEPR Discussion Papers 2658, C.E.P.R. Discussion Papers.
  4. David I. Harvey & Stephen J. Leybourne, 2007. "Testing for time series linearity," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 149-165, 03.
  5. Matt P. Dziubinski & Stefano Grassi, 2012. "Heterogeneous Computing in Economics: A Simplified Approach," CREATES Research Papers 2012-15, School of Economics and Management, University of Aarhus.
  6. Zhang, Lingxiang, 2012. "Test for linearity against STAR models with deterministic trends," Economics Letters, Elsevier, vol. 115(1), pages 16-19.
  7. Anders Bredahl Kock, 2013. "Oracle inequalities for high-dimensional panel data models," CREATES Research Papers 2013-20, School of Economics and Management, University of Aarhus.
  8. Anders Bredahl Kock & Laurent A.F. Callot, 2012. "Oracle Inequalities for High Dimensional Vector Autoregressions," CREATES Research Papers 2012-16, School of Economics and Management, University of Aarhus.
  9. Juan Cuestas & Dean Garratt, 2011. "Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing," Empirical Economics, Springer, vol. 41(3), pages 555-563, December.
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