Testing linearity against smooth transition autoregression using a parametric bootstrap
AbstractWhen testing the null hypothesis of linearity of a univariate time series against smooth transition autoregression (STAR), standard asymptotic distribution results do not apply since nuisance parameters in the model are unidentified under the null hypothesis. The prevailing test of Luukkonen, Saikkonen and Teräsvirta (1988) is based on a linearization, which may adversely affect its power. This paper discusses an alternative procedure, based on a parametric bootstrap of a likelihood ratio test statistic, and investigates its size and power properties by a small simulation study. The results, however, indicate that the power of the bootstrap test is inferior to that of the existing test.
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Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 276.
Length: 8 pages
Date of creation: 28 Oct 1998
Date of revision: 13 Dec 1998
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Linearity testing; smooth transition autoregression model; nuisance parameter; nonstandard testing problem; bootstrap test;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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- NEP-ALL-1998-11-20 (All new papers)
- NEP-ECM-1998-11-23 (Econometrics)
- NEP-ETS-1998-11-20 (Econometric Time Series)
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