transition function and proposed the variable addition tests as the tests of linearity against smooth transition nonlinearity …

structure. The paper reports clear evidence of nonlinearity, in contrast to the affine term structure model and consistent with … does not capture the entire nature of the nonlinearity. The quadratic term structure model recently proposed performs … better for capturing the nonlinearity than the threshold model but the former model seems to miss some aspect of nonlinearity …

This paper considers an important practical problem in testing time-series data for nonlinearity in mean. Most popular … relation to this particular problem. These are the heteroskedasticity-robust-auxiliary-regression approach and the wild …

heteroskedasticity of unknown form. This is not the case, however, with other well-known IV estimators, such as LIML, Fuller's modified … LIML, 2SLS, and B2SLS, which are shown to be inconsistent in general under heteroskedasticity. We also introduce new … heteroskedasticity of unknown form, is important from the perspective of empirical application, given that testing general linear and …

adjusts for endogeneity by adopting a control function approach and presents a simple two-step estimator that exploits the …