Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent
Econometrics Journal, 2008, vol. 11, issue 3, pages 638-647
In this paper, we derive asymptotic distributions for linearity tests in time-varying smooth transition autoregressive models in the presence of a unit root. The limiting distributions are non-standard because of the unit root assumption, and it is shown that the linearity hypothesis is rejected far too often (up to 30.9% of the times at a 5% significance level) when using critical values from a chi-square distribution. Copyright The Author(s). Journal compilation Royal Economic Society 2008
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Persistent link: http://EconPapers.repec.org/RePEc:ect:emjrnl:v:11:y:2008:i:3:p:638-647
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