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:	2012-05-08
Authors:	Kaufmann, Hendrik ; Kruse, Robinson ; Sibbertsen, Philipp
Institutions:	School of Economics and Management, University of Aarhus
Subject:	Nonlinearity \| Smooth transition \| Deterministic trend

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Extent:	application/pdf
Series:	CREATES Research Papers.
Type of publication:	Book / Working Paper
Notes:	1 pages long
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010851237