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conditional variance. In the paper I also introduce three new procedures for asymmetry testing. The proposed LM tests, which are …
Persistent link: https://www.econbiz.de/10005649300
This paper considers smooth transition regression models and their univariate counterparts, smooth transition autoregressive models. The model is defined and thereafter, linearity testing, statistical inference in smooth transition models, and areas of application are discussed. A bivariate...
Persistent link: https://www.econbiz.de/10005649453
In the classical ARCH model of Engle [1982] the conditional variance is a linear function of lagged squared residuals. In this paper I introduce nonlinearity, by adding a term that consists of a constant parameter multiplied by a transition function. Two different transition functions are...
Persistent link: https://www.econbiz.de/10005649476
that of the asymmetry tests proposed by Engle and Ng [1993]. This is true even if the true data generating process is not … fact tests for general GARCH asymmetry,. …
Persistent link: https://www.econbiz.de/10005771173
In this paper, a unified framework for testing the adequancy of an estimated EGARCH model is presented. The tests are Lagrange multiplier or Lagrange multiplier type tests and include testing an EGARCH model against a higher-order one and testing parameter constancy. Furthermore, various...
Persistent link: https://www.econbiz.de/10010281223
In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a...
Persistent link: https://www.econbiz.de/10010281224
In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the conditional variance to have a smooth time-varying structure of either additive or multiplicative type. The suggested parameterizations describe both nonlinearity and structural change in the...
Persistent link: https://www.econbiz.de/10010281252
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
In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new...
Persistent link: https://www.econbiz.de/10010281297
In this paper two simple tests to distinguish between unit root processes and stationary nonlinear processes are proposed. New limit distribution results are provided, together with two F type test statistics for the joint unit root and linearity hypothesis against a specific nonlinear...
Persistent link: https://www.econbiz.de/10010281347