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On tests for linearity against STAR models with deterministic trends

  • Kaufmann, Hendrik
  • Kruse, Robinson
  • Sibbertsen, Philipp

Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this work. Our findings show, in contrast to results recently reported in Zhang (2012), that linearity tests against STAR models lead to useful results in this setting.

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File URL: http://www.sciencedirect.com/science/article/pii/S0165176512002935
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 117 (2012)
Issue (Month): 1 ()
Pages: 268-271

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Handle: RePEc:eee:ecolet:v:117:y:2012:i:1:p:268-271
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Juan Carlos Cuestas & Dean Garratt, 2008. "Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing," Working Papers 2008/12, Nottingham Trent University, Nottingham Business School, Economics Division.
  2. Zhang, Lingxiang, 2012. "Test for linearity against STAR models with deterministic trends," Economics Letters, Elsevier, vol. 115(1), pages 16-19.
  3. Matt P. Dziubinski & Stefano Grassi, 2012. "Heterogeneous Computing in Economics: A Simplified Approach," CREATES Research Papers 2012-15, School of Economics and Management, University of Aarhus.
  4. Robinson Kruse & Michael Frömmel & Lukas Menkhoff & Philipp Sibbertsen, 2012. "What do we know about real exchange rate nonlinearities?," Empirical Economics, Springer, vol. 43(2), pages 457-474, October.
  5. Peel, David & Sarno, Lucio & Taylor, Mark P, 2001. "Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles," CEPR Discussion Papers 2658, C.E.P.R. Discussion Papers.
  6. Anders Bredahl Kock, 2013. "Oracle inequalities for high-dimensional panel data models," CREATES Research Papers 2013-20, School of Economics and Management, University of Aarhus.
  7. Anders Bredahl Kock & Laurent A.F. Callot, 2012. "Oracle Inequalities for High Dimensional Vector Autoregressions," CREATES Research Papers 2012-16, School of Economics and Management, University of Aarhus.
  8. Rickard Sandberg, 2008. "Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent," Econometrics Journal, Royal Economic Society, vol. 11(3), pages 638-647, November.
  9. David I. Harvey & Stephen J. Leybourne, 2007. "Testing for time series linearity," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 149-165, 03.
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