An ARCH Robust STAR Test

Michael K. Andersson, Bruno Eklund and Johan Lyhagen ()
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Michael K. Andersson: Dept. of Economic Statistics, Stockholm School of Economics, Postal: P.O. Box 6501, S-113 83 Stockholm, Sweden

No 317, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: The LM type linearity test for STAR nonlinearities is severely distorted when the process is governed by conditional heteroskedasticity. In order to correct the test we propose a parametric bootstrap. It is shown, by means of Monte Carlo methods, that the bootstrap test is almost exact.

Keywords: Smooth transition autoregressive models; Bootstrap; Parametric resampling; Size distortion; Power (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 11 pages
Date: 1999-05-11
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

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