Tests for TAR models vs. star models -- a separate family of hypotheses approach

DOI10.5705/SS.202016.0497MaRDI QIDQ4558618zbMATH OpenOpenAlexFDO

Authors Zhaoxing Gao, Shiqing Ling, Howell Tong

Publication date 22 November 2018

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5705/ss.202016.0497

zbMATH Keywords

non-nested testseparate family of hypothesesSTAR modelTAR model

Mathematics Subject Classification ID

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

Recommendations

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Cited in

(5)

• Discriminating between competing STAR models
• Tests for linearity in star models: SupWald and LM-type tests
• A Bayesian threshold nonlinearity test for TAR models
• Empirical power comparisons of some tests for low order threshold models
• Testing linearity against smooth transition autoregressive models

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