Robust Terms Against Smooth Transition Autoregressive (STAR) Models
Testing for linearity in time series models has been an active area of research [see Granger and Terasvirta (1993), Tong (1991)]. The authors consider a test for linearity against a particular regime switching model known as the smooth transition autoregressive (STAR) model.
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|Date of creation:||1998|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.latrobe.edu.au/economics|
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