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ArtikelCritical 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 artikelIn 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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