Beg, A B M Rabiul Alam; Silvapulle, Mervyn J; … - Department of Economics and Finance, La Trobe Business … - 1998
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.
