Francq, Christian; Horvath, Lajos; Zakoïan, Jean-Michel - In: Econometric Theory 26 (2010) 04, pp. 965-993
We consider linearity testing in a general class of nonlinear time series models of order one, involving a nonnegative nuisance parameter that (a) is not identified under the null hypothesis and (b) gives the linear model when equal to zero. This paper studies the asymptotic distribution of the...