Testing linearity against smooth transition autoregressive models

DOI10.1093/biomet/75.3.491zbMath0657.62109OpenAlexW1988789713MaRDI QIDQ3805700

Timo Teräsvirta, Ritva Luukkonen, Pentti Saikkonen

Publication date: 1988

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/75.3.491

zbMATH Keywords

nonlinearity power CUSUM test smooth transition autoregressive (STAR) model linear time series model univariate time series small sample behaviour tests of linearity augmented Tsay test procedure Lagrange multiplier type test logistic STAR model self-exciting threshold autoregressive (SETAR) model third order test procedure

Mathematics Subject Classification ID

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

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