Testing the Adequacy of Smooth Transition Autoregressive Models
Øyvind Eitrheim and
No 56, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics
Smooth transition autoregressive models are a flixible family of nonlinear time series models that have also been used for modelling economic data. This paper contributes to the evaluation stage of a proposed specification, estimation, and evaluation cycle of this models by introducing a Lagrange multiplier (LM) test for the hypothesis of no error autocorrelation and LM type tests for the hypothesis of remaining nonlinearity and that of parameter constancy. Small sample properies of the F versions of the tests and some alternative tests are investigated by simulation. The results indicate that the proposed tests can be applied in small samples already.
Keywords: Autocorrelation; Lagrange Multiplier test; model evaluation; model misspecification; nonlinear time series; time series modelling (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 23 pages
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Published in Journal of Econometrics, 1996, pages 59-75
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Journal Article: Testing the adequacy of smooth transition autoregressive models (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0056
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