On tests for linearity against STAR models with deterministic trends

Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this paper. As opposed to recently reported results in Zhang (2012), we show that linearity tests against STAR models lead to useful results in this setting.

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Year of publication:	2012
Authors:	Kaufmann, Hendrik ; Kruse, Robinson ; Sibbertsen, Philipp
Publisher:	Hannover : Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Subject:	Nonlinearity \| Smooth transition \| Deterministic trend

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Series:	Diskussionsbeitrag ; 492
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	718520874 [GVK] hdl:10419/73130 [Handle] RePEc:han:dpaper:dp-492 [RePEc]
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010294441