STARTEST: RATS procedure to perform test for linearity vs. LSTAR or ESTAR

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: This does the test for linearity vs an alternative of LSTAR or ESTAR (smooth transition autoregression). Terasvirta(1994), "Specification, Estimation and Evaluation of Smooth Transition Autoregressive Models", JASA, vol 89, 208-218.

Language: RATS
Requires: RATS 7.30
Keywords: Threshold models; STAR models (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml
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http://www.estima.com/procs_perl/startest.src (text/plain)

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