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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)

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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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Publisher 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;

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

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This page was last updated on 2009-12-18.

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