A simple test for linearity against exponential smooth transition models with endogenous variables
This paper proposes a test for linearity against exponential smooth transition models with endogenous right-hand-side variables: to the very best of our knowledge, this class of models is new to the literature. By Monte Carlo analysis the test is shown to have good finite sample properties.
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Volume (Year): 117 (2012)
Issue (Month): 3 ()
Pages: 851-856
| Handle: | RePEc:eee:ecolet:v:117:y:2012:i:3:p:851-856 |
| DOI: | 10.1016/j.econlet.2012.09.002 |
| Contact details of provider: | Web page: http://www.elsevier.com/locate/ecolet
|
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- Areosa, Waldyr Dutra & McAleer, Michael & Medeiros, Marcelo C., 2011. "Moment-based estimation of smooth transition regression models with endogenous variables," Journal of Econometrics, Elsevier, vol. 165(1), pages 100-111.
- Areosa, W.D. & McAleer, M.J. & Medeiros, M.C., 2008. "Moment-bases estimation of smooth transition regression models with endogenous variables," Econometric Institute Research Papers EI 2008-36, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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