Comprehensively testing linearity hypothesis using the smooth transition autoregressive model

DOI10.1080/07474938.2022.2091713MaRDI QIDQ5867579zbMATH OpenOpenAlexWikidataFDO

Authors Dakyung Seong, Jin Seo Cho, Timo Teräsvirta

Publication date 14 September 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2022.2091713

zbMATH Keywords

multivariate Gaussian processlinearity testSTAR modelQLR test statistic

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited in

(3)

• Testing for smooth transition nonlinearity in partially nonstationary vector autoregressions
• A sequential test procedure for the choice of the number of regimes in multivariate nonlinear models
• A Portmanteau Test for Smooth Transition Autoregressive Models

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