Linearity Tests And Stationarity  

Oleh:

Kilic, Rehim

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 7 no. 1 (Jun. 2004), page 55–62.
Topik: Smooth transition autoregressive model; LM-type tests; Unit root
Fulltext: 55.pdf (81.5KB)

Isi artikel

This paper shows that the asymptotic distributions of LM-type linearity tests against Smooth Transition Autoregressive (STAR) models, in the presence of a unit root, are non-standard and using standard ?2 critical values may lead to incorrect inference as the tails of the distribution of tests will be thicker than the ?2. This finding also indicates that one needs to test for stationarity prior to applying linearity tests.

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