Comprehensively testing linearity hypothesis using the smooth transition autoregressive model

DOI10.1080/07474938.2022.2091713OpenAlexW4286016547WikidataQ115042182 ScholiaQ115042182MaRDI QIDQ5867579

Dakyung Seong, Timo Teräsvirta, Jin Seo Cho

Publication date: 14 September 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2022.2091713

zbMATH Keywords

multivariate Gaussian processlinearity testSTAR modelQLR test statistic

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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