On tests for linearity against STAR models with deterministic trends

Hendrik Kaufmann, Robinson Kruse and Philipp Sibbertsen

Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

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.

Keywords: Nonlinearity; Smooth transition; Deterministic trend (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 7 pages
Date: 2012-02
New Economics Papers: this item is included in nep-ecm and nep-ets
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http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-492.pdf (application/pdf)

Related works:
Journal Article: On tests for linearity against STAR models with deterministic trends (2012)
Working Paper: On tests for linearity against STAR models with deterministic trends (2012)
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