On tests for linearity against STAR models with deterministic trends

Hendrik Kaufmann (), Robinson Kruse and Philipp Sibbertsen
Additional contact information
Hendrik Kaufmann: Leibniz University Hannover, Postal: School of Economics and Management, Institute for Statistics, Königsworther Platz 1, D-30167 Hannover, Germany

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

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: 10
Date: 2012-05-08
New Economics Papers: this item is included in nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://repec.econ.au.dk/repec/creates/rp/12/rp12_20.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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2012-20

Access Statistics for this paper

More papers in CREATES Research Papers from Department of Economics and Business Economics, Aarhus University
Bibliographic data for series maintained by ().