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REGSTRTEST: RATS procedure to perform a test for linearity vs nonlinear in the form of smooth transition

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Does an LM test for linearity vs an alternative of smooth transition based upon lags of a known threshold variable in the preceding linear regression. The general idea (of testing interactions between regressors and terms from a Taylor expansion of the transition variable) is from Luukkonen, Saikkonen and Terasvirta(1988), "Testing Linearity against smooth transition autoregressive models", Biometrika vol 75, 491-499. The labeling and interpretation of the hypotheses is from Terasvirta(1994), "Specification, Estimation and Evaluation of Smooth Transition Autoregressive Models", JASA, vol 89, no. 425, pp 208-218.

Suggested Citation

  • Tom Doan, "undated". "REGSTRTEST: RATS procedure to perform a test for linearity vs nonlinear in the form of smooth transition," Statistical Software Components RTS00249, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00249
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/regstrtest.src
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