A simple test for linearity against exponential smooth transition models with endogenous variables

This paper proposes a test for linearity against exponential smooth transition models with endogenous right-hand-side variables: to the very best of our knowledge, this class of models is new to the literature. By Monte Carlo analysis the test is shown to have good finite sample properties.

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Year of publication:	2012
Authors:	Massacci, Daniele
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 117.2012, 3, p. 851-856
Publisher:	Elsevier
Subject:	Exponential smooth transition model \| Endogeneity \| Linearity test

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010594168