Testing the Adequacy of Smooth Transition Autoregressive Models
Smooth transition autoregressive models are a flixible family of nonlinear time series models that have also been used for modelling economic data. This paper contributes to the evaluation stage of a proposed specification, estimation, and evaluation cycle of this models by introducing a Lagrange multiplier (LM) test for the hypothesis of no error autocorrelation and LM type tests for the hypothesis of remaining nonlinearity and that of parameter constancy. Small sample properies of the F versions of the tests and some alternative tests are investigated by simulation. The results indicate that the proposed tests can be applied in small samples already.
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|Date of creation:||May 1995|
|Publication status:||Published in Journal of Econometrics, 1996, pages 59-75|
|Contact details of provider:|| Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden|
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- Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages 119-136, Suppl. De.
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Journal of Econometrics,
Elsevier, vol. 56(3), pages 269-290, April.
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- Tom Doan, "undated". "REGRESET: RATS procedure to perform Ramsey RESET test on regression," Statistical Software Components RTS00181, Boston College Department of Economics.
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