van Dijk, Dick; Franses, Philip Hans; Rothman, P. - Faculteit der Economische Wetenschappen, Erasmus … - 1999
Using a standard 4-variable linear vector error correction model (VECM), we first show that the null hypothesis of linearity can be strongly rejected against the alternative of smooth transition autoregressive nonlinearity. An important result from this stage of the analysis is that the...