Robust Terms Against Smooth Transition Autoregressive (STAR) Models

Testing for linearity in time series models has been an active area of research [see Granger and Terasvirta (1993), Tong (1991)]. The authors consider a test for linearity against a particular regime switching model known as the smooth transition autoregressive (STAR) model.

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Year of publication:	1998
Authors:	Beg, A B M Rabiul Alam ; Silvapulle, Mervyn J ; Silvapulle, Param
Institutions:	Department of Economics and Finance, La Trobe Business School
Subject:	Testing. Time Series \| Econometrics

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 1998.16 14 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010541503