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

DOI10.1111/J.1368-423X.2008.00257.XMaRDI QIDQ3548529zbMATH OpenFDO

Authors Rickard Sandberg

Publication date 15 December 2008

Published in Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

random walkWald testlinearity testssmooth transition models

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• A Consistent Conditional Moment Test of Functional Form
• Asymptotic Theory of Integrated Conditional Moment Tests
• CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Linearity tests and stationarity
• MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES
• Modeling Multiple Regimes in the Business Cycle
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Specification, estimation, and evaluation of smooth transition autoregressive models
• Testing for a unit root in the nonlinear STAR framework
• Testing linearity against smooth transition autoregressive models
• Testing the constancy of regression parameters against continuous structural change
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The Bierens test under data dependence
• Unit roots and double smooth transitions
• Unit roots and smooth transitions

Cited in

(6)

• Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate
• Testing for a unit root in a stationary ESTAR process
• Tests for linearity in star models: SupWald and LM-type tests
• On tests for linearity against STAR models with deterministic trends
• Linearity tests and stationarity
• Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes

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