He, Changli; Sandberg, Rickard - Economics Institute for Research (SIR), … - 2005
.i.d. sequence of random variables de�ned on a
probability space (
;F;P) such that E(ut) = 0; E(u2t) = 2u, and E(u4t) < 1 hold
for … function to the LSTAR model de�ned in Lin and
Ter�svirta (1994). Such a model could be de�ned as
yt = x0t 1 +x0tF 2 +ut; t = 1 …, yields
0
@1
p 1X
q=1
a10qLq
1
A yt = ut;
0
@1
p 1X
q=1
am0qLq
1
A yt = am0 +ut; m = 2;3:
Because the roots of c(z) = 1 …