Robust Terms Against Smooth Transition Autoregressive (STAR) Models
AbstractTesting 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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Bibliographic InfoPaper provided by School of Economics, La Trobe University in its series Working Papers with number 1998.16.
Length: 14 pages
Date of creation: 1998
Date of revision:
Testing. Time Series; Econometrics;
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