Anda belum login :: 08 Oct 2024 18:26 WIB
Home
|
Logon
Hidden
»
Administration
»
Collection Detail
Detail
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
Lihat Detail Induk
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.
Opini Anda
Klik untuk menuliskan opini Anda tentang koleksi ini!
Kembali
Process time: 0.015625 second(s)