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Robust Terms Against Smooth Transition Autoregressive (STAR) Models

Author

Listed:
  • A B M Rabiul Alam Beg

    (School of Economics, La Trobe University)

  • Mervyn J Silvapulle

    (School of Economics, La Trobe University)

  • Param Silvapulle

    (School of Economics, La Trobe University)

Abstract

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.

Suggested Citation

  • A B M Rabiul Alam Beg & Mervyn J Silvapulle & Param Silvapulle, 1998. "Robust Terms Against Smooth Transition Autoregressive (STAR) Models," Working Papers 1998.16, School of Economics, La Trobe University.
  • Handle: RePEc:trb:wpaper:1998.16
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    References listed on IDEAS

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    Keywords

    Testing. Time Series; Econometrics;

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