Search Results - subject:"LSTAR(p)"

Dickey-Fuller type of tests against nonlinear dynamic models

He, Changli; Sandberg, Rickard - 2005

In this paper we introduce several test statistics of testing the null hypotheses of a random walk (with or without drift) against models that accommodate a smooth nonlinear shift in the level, the dynamic structure, and the trend. We derive analytical limiting distributions for all tests....

Persistent link: https://www.econbiz.de/10010281281

Dickey-Fuller Type of Tests against Nonlinear Dynamic Models

He, Changli; Sandberg, Rickard - Economics Institute for Research (SIR), … - 2005

Perron, and is found to be superior in terms of power. JEL classi�cation: C12; C22; C52 Key words: Dickey-Fuller test; LSTAR(p … (LSTAR(p)) in Lin and Ter�svirta (1994), and also an LSTAR(p) model where a time trend is included (LSTART(p)). We assume … such as the LSTAR(p) model introduced in Lin and Ter�svirta (1994), the classical linear autoregressive models in Dickey …

Persistent link: https://www.econbiz.de/10005190836