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On tests for linearity against STAR models with deterministic trends

  • Hendrik Kaufmann

    ()

    (Leibniz University Hannover)

  • Robinson Kruse

    ()

    (Leibniz University Hannover and CREATES)

  • Philipp Sibbertsen

    ()

    (Leibniz University Hannover and CREATES)

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

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File URL: ftp://ftp.econ.au.dk/creates/rp/12/rp12_20.pdf
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Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2012-20.

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Length: 10
Date of creation: 08 May 2012
Date of revision:
Handle: RePEc:aah:create:2012-20
Contact details of provider: Web page: http://www.econ.au.dk/afn/

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  1. 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.
  2. Taylor, Mark P & Peel, David A & Sarno, Lucio, 2001. "Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 1015-42, November.
  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. R. Kruse & M. Frömmel & L. Menkhoff & P. Sibbertsen, 2010. "What do we know about real exchange rate nonlinearities?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 10/667, Ghent University, Faculty of Economics and Business Administration.
  5. 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.
  6. David I. Harvey & Stephen J. Leybourne, 2007. "Testing for time series linearity," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 149-165, 03.
  7. 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.
  8. Zhang, Lingxiang, 2012. "Test for linearity against STAR models with deterministic trends," Economics Letters, Elsevier, vol. 115(1), pages 16-19.
  9. Juan Cuestas & Dean Garratt, 2011. "Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing," Empirical Economics, Springer, vol. 41(3), pages 555-563, December.
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