On tests for linearity against STAR models with deterministic trends

DOI10.1016/j.econlet.2012.05.025zbMath1254.91598OpenAlexW1995159566MaRDI QIDQ1925898

Philipp Sibbertsen, Hendrik Kaufmann, Robinson Kruse

Publication date: 27 December 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-492.pdf

zbMATH Keywords

nonlinearitysmooth transitiondeterministic trend

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Cites Work

• Test for linearity against STAR models with deterministic trends
• Linearity tests and stationarity
• Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent
• Testing for time series linearity
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

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