Robust Terms Against Smooth Transition Autoregressive (STAR) Models

A Beg, Mervyn Silvapulle and Param Silvapulle
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A Beg: School of Economics, La Trobe University
Mervyn Silvapulle: School of Economics, La Trobe University
Param Silvapulle: School of Economics, La Trobe University

No 1998.16, Working Papers from School of Economics, La Trobe University

Abstract: Testing for linearity in time series models has been an active area of research [see Granger and Terasvirta (1993), Tong (1991)]. The authors consider a test for linearity against a particular regime switching model known as the smooth transition autoregressive (STAR) model.

Keywords: Testing. Time Series; Econometrics (search for similar items in EconPapers)
Pages: 14 pages
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:trb:wpaper:1998.16

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