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Comprehensive testing of linearity against the smooth transition autoregressive model

Seong, Dakyung; Cho, Jin Seo; Teräsvirta, Timo - 2019 - This version: August 2019

Persistent link: https://www.econbiz.de/10012316842

Comprehensively testing linearity hypothesis using the smooth transition autoregressive model

Seong, Dakyung; Cho, Jin Seo; Teräsvirta, Timo - In: Econometric reviews 41 (2022) 8, pp. 966-984

Persistent link: https://www.econbiz.de/10013364922

A CUSUM test for a long memory heterogeneous autoregressive model

Hwang, Eunju; Shin, Dong-wan - In: Economics letters 121 (2013) 3, pp. 379-383

Persistent link: https://www.econbiz.de/10010392170

Residual-based rank specification tests for AR-GARCH type models

Andreou, Elena; Werker, Bas J. M. - In: Journal of econometrics 185 (2015) 2, pp. 305-331

Persistent link: https://www.econbiz.de/10011348447

Data-driven local polynomial for the trend and its derivatives in economic time series

Feng, Yuanhua; Gries, Thomas - 2017

Persistent link: https://www.econbiz.de/10011641559

Testing for misspecification in the short-run component of GARCH-type models

Chuffart, Thomas; Flachaire, Emmanuel; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 5, pp. 1-17

Persistent link: https://www.econbiz.de/10011965362

A multivariate cointegration time series model and its applications in analysing stock markets in China

Zhao, Yan-Yong; Ye, Xu-Guo; Han, Zhong-Cheng - In: Economic research 33 (2020) 1,1, pp. 698-711

Persistent link: https://www.econbiz.de/10013173566

The influence of additive outliers on the performance of information criteria to detect nonlinearity

Rinke, Saskia - 2016

In this paper the performance of information criteria and a test against SETAR nonlinearity for outlier contaminated time series are investigated. Additive outliers can seriously influence the properties of the underlying time series and hence of linearity tests, resulting in spurious test...

Persistent link: https://www.econbiz.de/10011488709

Sustainability of external debt : further evidence from non-linear framework

Nasir, Abm; Noman, Abdullah M. - In: International review of applied economics 26 (2012) 5, pp. 673-685

Persistent link: https://www.econbiz.de/10009612120

Nonparametric testing for smooth structural changes in panel data models

Chen, Bin; Huang, Liquan - In: Journal of econometrics 202 (2018) 2, pp. 245-267

Persistent link: https://www.econbiz.de/10011974569