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

DOI10.1111/J.1368-423X.2008.00257.XzbMATH Open1154.62369MaRDI QIDQ3548529FDOQ3548529

Authors: Rickard Sandberg 

Publication date: 15 December 2008

Published in: Econometrics Journal (Search for Journal in Brave)

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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)

Cites Work

• Testing the constancy of regression parameters against continuous structural change
• Title not available (Why is that?)
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• A Consistent Conditional Moment Test of Functional Form
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Asymptotic Theory of Integrated Conditional Moment Tests
• Specification, estimation, and evaluation of smooth transition autoregressive models
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Testing linearity against smooth transition autoregressive models
• The Bierens test under data dependence
• Linearity tests and stationarity
• Testing for a unit root in the nonlinear STAR framework
• Modeling Multiple Regimes in the Business Cycle
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
• CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES
• Unit roots and smooth transitions
• MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES
• Unit roots and double 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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