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An ARCH Robust STAR Test

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Author Info

  • Andersson, Michael K.

    (Dept. of Economic Statistics, Stockholm School of Economics)

  • Eklund, Bruno

    ()
    (Dept. of Economic Statistics, Stockholm School of Economics)

  • Lyhagen, Johan

    ()
    (Department of Information Science, Uppsala University)

Abstract

The LM type linearity test for STAR nonlinearities is severely distorted when the process is governed by conditional heteroskedasticity. In order to correct the test we propose a parametric bootstrap. It is shown, by means of Monte Carlo methods, that the bootstrap test is almost exact.

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Bibliographic Info

Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 317.

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Length: 11 pages
Date of creation: 11 May 1999
Date of revision:
Handle: RePEc:hhs:hastef:0317

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Related research

Keywords: Smooth transition autoregressive models; Bootstrap; Parametric resampling; Size distortion; Power;

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Cited by:
  1. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Testing for sign and amplitude asymmetries using threshold autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 30(4), pages 623-654, April.

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