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Robust Terms Against Smooth Transition Autoregressive (STAR) Models

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Author Info
Beg, AB.M.R.
Silvapulle, M.J.
Silvapulle, P.

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Abstract

Testing for linearity in time series models has been an active area of research [see Granger and Terasvirta (1993), Tong (1991)]. The authors consider a test for linearity against a particular regime switching model known as the smooth transition autoregressive (STAR) model.

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Publisher Info
Paper provided by La Trobe - Department of Economics in its series Papers with number 98.16.

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Length: 14 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:fth:latrob:98.16

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Postal: School of Economics and Commerce, La Trobe University, Bundoora, Victoria, Australia 3089.
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Related research
Keywords: TESTING ; TIME SERIES ; ECONOMETRICS;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

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