Testing the adequacy of smooth transition autoregressive models

DOI10.1016/0304-4076(95)01751-8zbMath0864.62058MaRDI QIDQ1126494

Timo Teräsvirta, Øyvind Eitrheim

Publication date: 26 June 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01751-8

zbMATH Keywords

estimation; simulation; evaluation; specification; nonlinear time series models; Lagrange multiplier test; small samples; STAR models; hypothesis of no error autocorrelation; hypothesis of no remaining nonlinearity; parameter constancy; residual nonlinearity test

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F03: Parametric hypothesis testing

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