Consistent Model Specification Tests Against Smooth Transition Alternatives

Jonathan B. Hill
Additional contact information
Jonathan B. Hill: Florida International University

Econometrics from University Library of Munich, Germany

Abstract: In this paper we develop tests of functional form that are consistent against a class of nonlinear "smooth transition" models of the conditional mean. Our method is an extension of the consistent model specification tests developed by Bierens (1990), de Jong (1996) and Bierens and Ploberger (1997), provides maximal power against nonlinear smooth transition ARX specifications, and is consistent against any deviation from the null hypothesis. Of separate interest, we provide substantial detail regarding when and whether Bierens-type tests are asymptotically degenerate. In a simulation experiment in which all parameters are randomly selected, and a linear AR null model is selected by minimizing the AIC, the proposed test has power nearly identical to a most powerful test for true STAR processes, and dominates popular tests.

Keywords: smooth transition; consistent test; nondegenerate test; nonlinear; neural networks. (search for similar items in EconPapers)
JEL-codes: C12 C22 C45 C52 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2004-02-05, Revised 2005-08-05
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-rmg
Note: Type of Document - pdf; prepared on WinXP; pages: 35
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0402/0402004.pdf (application/pdf)

Related works:
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:wpa:wuwpem:0402004

Access Statistics for this paper

More papers in Econometrics from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).