The spurious effect of ARCH errors on linearity tests: a theoretical note and an alternative maximum likelihood approach

DOI10.1515/snde-2016-0055OpenAlexW2626712720MaRDI QIDQ2691749

Mike G. Tsionas, Efthymios G. Pavlidis

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2016-0055

zbMATH Keywords

ARCHspurious inferencelinearity testssmooth transition models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)

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