On tests for linearity against STAR models with deterministic trends

Hendrik Kaufmann, Robinson Kruse and Philipp Sibbertsen

Economics Letters, 2012, vol. 117, issue 1, 268-271

Abstract: Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this work. Our findings show, in contrast to results recently reported in Zhang (2012), 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)
Date: 2012
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Related works:
Working Paper: 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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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:1:p:268-271

DOI: 10.1016/j.econlet.2012.05.025

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