Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent

DOI10.1111/j.1368-423X.2008.00257.xzbMath1154.62369MaRDI QIDQ3548529

Rickard Sandberg

Publication date: 15 December 2008

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

zbMATH Keywords

Wald testrandom walklinearity testssmooth transition models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Related Items (4)

Testing for a unit root in a stationary ESTAR process ⋮ Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes ⋮ On tests for linearity against STAR models with deterministic trends ⋮ Tests for Linearity in Star Models: Supwald and Lm-Type Tests

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