Testing linearity against smooth transition autoregression using a parametric bootstrap
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More about this item
KeywordsLinearity testing; smooth transition autoregression model; nuisance parameter; nonstandard testing problem; bootstrap test;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-1998-11-20 (All new papers)
- NEP-ECM-1998-11-23 (Econometrics)
- NEP-ETS-1998-11-20 (Econometric Time Series)
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