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Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent.
- Source :
- Econometrics Journal; Dec2008, Vol. 11 Issue 3, p638-647, 10p, 2 Charts
- Publication Year :
- 2008
-
Abstract
- 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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 13684221
- Volume :
- 11
- Issue :
- 3
- Database :
- Complementary Index
- Journal :
- Econometrics Journal
- Publication Type :
- Academic Journal
- Accession number :
- 35035309
- Full Text :
- https://doi.org/10.1111/j.1368-423X.2008.00257.x