Testing for smooth transition nonlinearity in partially nonstationary vector autoregressions

zbMATH Open1132.62072MaRDI QIDQ2479682FDOQ2479682

Authors: Byeongseon Seo 

Publication date: 1 April 2008

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

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• scientific article; zbMATH DE number 1805837

zbMATH Keywords

smooth transitionnonlinear adjustment

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Cited In (10)

• Thresholds and smooth transitions in vector autoregressive models
• Specification, estimation, and evaluation of smooth transition autoregressive models
• A simple test for linearity against exponential smooth transition models with endogenous variables
• Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions
• Bootstrap testing for nonlinear adjustments in error-correction models of non-smooth transition vectors
• Specifying smooth transition regression models in the presence of conditional heteroskedasticity of unknown form
• Reliability of linearity test for smooth transition models
• Stationarity testing under nonlinear models. Some asymptotic results
• A Portmanteau Test for Smooth Transition Autoregressive Models
• Estimation and inference in unstable nonlinear least squares models

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