Comprehensively testing linearity hypothesis using the smooth transition autoregressive model
Year of publication: |
2022
|
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Authors: | Seong, Dakyung ; Cho, Jin Seo ; Teräsvirta, Timo |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 41.2022, 8, p. 966-984
|
Subject: | linearity test | multivariate Gaussian process | QLR test statistic | STAR model | Autokorrelation | Autocorrelation | Zeitreihenanalyse | Time series analysis | Nichtlineare Regression | Nonlinear regression | Statistischer Test | Statistical test | Statistische Methodenlehre | Statistical theory | Schätztheorie | Estimation theory |
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