Testing the adequacy of smooth transition autoregressive models

DOI10.1016/0304-4076(95)01751-8zbMath0864.62058OpenAlexW2068882226MaRDI QIDQ1126494

Timo Teräsvirta, Øyvind Eitrheim

Publication date: 26 June 1997

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

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01751-8

zbMATH Keywords

estimationsimulationevaluationspecificationnonlinear time series modelsLagrange multiplier testsmall samplesSTAR modelshypothesis of no error autocorrelationhypothesis of no remaining nonlinearityparameter constancyresidual nonlinearity test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

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