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An ARCH Robust STAR Test

Author

Listed:
  • Andersson, Michael K.

    (Dept. of Economic Statistics, Stockholm School of Economics)

  • Eklund, Bruno

    () (Dept. of Economic Statistics, Stockholm School of Economics)

  • Lyhagen, Johan

    () (Department of Information Science, Uppsala University)

Abstract

The LM type linearity test for STAR nonlinearities is severely distorted when the process is governed by conditional heteroskedasticity. In order to correct the test we propose a parametric bootstrap. It is shown, by means of Monte Carlo methods, that the bootstrap test is almost exact.

Suggested Citation

  • Andersson, Michael K. & Eklund, Bruno & Lyhagen, Johan, 1999. "An ARCH Robust STAR Test," SSE/EFI Working Paper Series in Economics and Finance 317, Stockholm School of Economics.
  • Handle: RePEc:hhs:hastef:0317
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    Citations

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    Cited by:

    1. Liew, Venus Khim-Sen, 2008. "An overview on various ways of bootstrap methods," MPRA Paper 7163, University Library of Munich, Germany.
    2. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Testing for sign and amplitude asymmetries using threshold autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 30(4), pages 623-654, April.

    More about this item

    Keywords

    Smooth transition autoregressive models; Bootstrap; Parametric resampling; Size distortion; Power;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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