Linearity and misspecification tests for vector smooth transition regression models
Year of publication: |
2014-11-30
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Authors: | Terasvirta, Timo ; Yang, Yukai |
Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
Subject: | Vector STAR models | linearity test | misspecification test | vector nonlinear time series | serial correlation | parameter constancy | residual nonlinearity test |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2014061 |
Classification: | C12 - Hypothesis Testing ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing |
Source: |
-
Linearity and Misspecification Tests for Vector Smooth Transition Regression Models
Teräsvirta, Timo, (2014)
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Testing Common Nonlinear Features in Nonlinear Vector Autoregressive Models
Li, Dao, (2013)
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Testing Common Nonlinear Features in Nonlinear Vector Autoregressive Models
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