EconPapers    
Economics at your fingertips  
 

IMPROVED TESTING AND SPECIFICATION OF SMOOTH TRANSITION REGRESSION MODELS

Alvaro Escribano () and Oscar Jorda ()

Department of Economics from California Davis - Department of Economics

Abstract: This paper extends previous work in Escribano and Jorda (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-Carlo 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.

References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33) Track citations by RSS feed

Downloads: (external link)
http://www.econ.ucdavis.edu/working_papers/97-26.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.econ.ucdavis.edu/working_papers/97-26.pdf [301 Moved Permanently]--> https://www.econ.ucdavis.edu/working_papers/97-26.pdf)

Related works:
Working Paper: IMPROVED TESTING AND SPECIFICATION OF SMOOTH TRANSITION REGRESSION MODELS (2003) Downloads
Working Paper: Improved testing and specification of smooth transition regression models (1997) Downloads
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:fth:caldec:97-26

Access Statistics for this paper

More papers in Department of Economics from California Davis - Department of Economics University of California Davis - Department of Economics. One Shields Ave., California 95616-8578. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().

 
Page updated 2019-09-14
Handle: RePEc:fth:caldec:97-26