Improved testing and specification of smooth transition regression models
Oscar Jorda () and
Alvaro Escribano ()
DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística
This paper extends previous work in Escribano and J ordá (1997) and introduces new LM specification procedures to choose between Logistic and Exponential Smooth Transition Regression (STR) Models. These procedures are simpler, consistent and more powerful than those previously available in the literature. An analysis of the properties of Taylor approximations around the transition function of STR models permits one to understand why these procedures work better and it suggests ways to improve tests of the null hypothesis of linearity versus the alternative of STR-type nonlinearity. Monte-CarIo experiments illustrate the performance of the different tests introduced. The new procedures are then implemented on a study of the dynamics of the U.S. unemployment rate.
Keywords: Smooth; transition; regression; models; logistic; versus; exponential; lineatity; tests; size; and; power; asymmetries; in; U.; S.; unemployment; rates (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
Working Paper: IMPROVED TESTING AND SPECIFICATION OF SMOOTH TRANSITION REGRESSION MODELS (2003)
Working Paper: IMPROVED TESTING AND SPECIFICATION OF SMOOTH TRANSITION REGRESSION MODELS
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:6218
Access Statistics for this paper
More papers in DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística
Bibliographic data for series maintained by Ana Poveda ().