Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions

DOI10.1080/07474938.2020.1773666zbMath1490.62236OpenAlexW3034772842MaRDI QIDQ5861044

Julian S. Leppin, Matei Demetrescu, Stefan Reitz

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2020.1773666

zbMATH Keywords

nonlinear modelstestingmultivariateSTR model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Uses Software

• Stata

Cites Work

• Unnamed Item
• Unnamed Item
• Instrumental variable and variable addition based inference in predictive regressions
• Testing the adequacy of smooth transition autoregressive models
• Testing multiple equation systems for common nonlinear components
• The Oxford Handbook of Panel Data
• Predicting the Equity Premium with Dividend Ratios
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Testing linearity against smooth transition autoregressive models
• An improved Bonferroni procedure for multiple tests of significance
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• A Test for Slope Heterogeneity in Fixed Effects Models
• Lagrange multiplier type tests for slope homogeneity in panel data models
• Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
• Inferential Theory for Factor Models of Large Dimensions
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Robust inference for predictability in smooth transition predictive regressions

This page was built for publication: Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions