In ESTAR models it is usually difficult to determine parameter estimates, as it can be observed in the literature. We show that the phenomena of getting strongly biased estimators is a consequence of the so-called identification problem, the problem of properly distinguishing the transition...

In ESTAR models it is usually difficult to determine parameter estimates, as it can be observed in the literature. We show that the phenomena of getting strongly biased estimators is a consequence of the so-called identification problem, the problem of properly distinguishing the transition...

Building upon the work of Vogelsang (1998) and Harvey and Leybourne (2007) we derive tests that are invariant to the order of integration when the null hypothesis of linearity is tested in time-varying smooth transition models. As heteroscedasticity may lead to spurious rejections of the null...

The aim of this paper is to presents the results of simulation studies of size and power of the kernel linearity test, which belongs to a class of nonparametric tests. Simulation survey was carried out for linear and nonlinear models estimated by Ordinary Least Squares Method and Maximum...

When testing the null hypothesis of linearity of a univariate time series against smooth transition autoregression (STAR), standard asymptotic distribution results do not apply since nuisance parameters in the model are unidentified under the null hypothesis. The prevailing test of Luukkonen,...

The current account - interest rate relationship has been extensively investigated, but always assuming that it is linear. In this paper we examine the linearity versus nonlinearity issue with reference to this relationship in 11 OECD countries, and find overwhelming evidence in favour of...

The paper is concerned with testing super exogeneity in a single equation that can either be linear or partially nonlinear. A joint test for testing both weak exogeneity and a form of invariance, which together amount to super exogeneity, is presented and its properties discussed. The...