On tests for linearity against STAR models with deterministic trends

DOI10.1016/J.ECONLET.2012.05.025MaRDI QIDQ1925898zbMATH OpenOpenAlexFDO

Authors Hendrik Kaufmann, Robinson Kruse, Philipp Sibbertsen

Publication date 27 December 2012

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-492.pdf

zbMATH Keywords

deterministic trendnonlinearitysmooth transition

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

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Cites work

• Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent
• Linearity tests and stationarity
• Specification, estimation, and evaluation of smooth transition autoregressive models
• Test for linearity against STAR models with deterministic trends
• Testing for time series linearity

Cited in

(8)

• Linearity tests and stochastic trend under the STAR framework
• A simple test for linearity against exponential smooth transition models with endogenous variables
• Tests for linearity in star models: SupWald and LM-type tests
• scientific article; zbMATH DE number 1805837 (Why is no real title available?)
• Linearity tests and stationarity
• Testing linearity against smooth transition autoregressive models
• Test for linearity against STAR models with deterministic trends
• Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate

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