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 …

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

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 …

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 …

squares estimator under such endogeneity for the regressions with the integrable or asymptotically homogeneous regression … the estimator is consistent and has the same rate of convergence as for the case of the regressions with no endogeneity …. Whether or not the limiting distribution is affected by the presence of endogeneity, however, depends upon the type of the …