An ARCH Robust STAR Test
AbstractThe 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 InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 317.
Length: 11 pages
Date of creation: 11 May 1999
Date of revision:
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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 and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-1999-05-25 (All new papers)
- NEP-ECM-1999-05-25 (Econometrics)
- NEP-ETS-1999-05-25 (Econometric Time Series)
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- 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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