Kruse, Robinson; Sandberg, Rickard - School of Economics and Management, University of Aarhus - 2010
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...