Critical Values for Linearity Tests in Time-Varying Smooth Transition Autoregressive Models When Data Are Highly Persistent  

Oleh:

Sandberg, Rickard

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 11 no. 3 (2008), page 638.
Topik: Critical Values; Linearity Test; Time-Varying Smooth Transition; Autoregressive Models; Data
Fulltext: 638.pdf (507.86KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

In this paper, we derive asymptotic distributions for linearity tests in time-varying smooth transition autoregressive models in the presence of a unit root. The limiting distributions are non-standard because of the unit root assumption, and it is shown that the linearity hypothesis is rejected far too often (up to 30.9% of the times at a 5% significance level) when using critical values from a chi-square distribution.

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