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 work. Our findings show, in contrast to results recently reported in Zhang (2012), 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
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 117.2012, 1, p. 268-271
Publisher:	Elsevier
Subject:	Nonlinearity \| Smooth transition \| Deterministic trend

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010580492