On tests for linearity against STAR models with deterministic trends
Autor: Hendrik Kaufmann , Robinson Kruse and Philipp Sibbertsen
Nummer: 492, Feb 2012, pp. 7
JEL-Class: C12, C22
Abstract:
Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this paper. As opposed to recently reported results in Zhang (2012), we show that linearity tests against STAR models lead to useful results in this setting.
Zusammenfassung:
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