Kilic, Rehim - In: Econometrics Journal 7 (2004) 1, pp. 55-62
This paper shows that the asymptotic distributions of <i>LM</i>-type linearity tests against Smooth Transition Autoregressive (STAR) models, in the presence of a unit root, are non-standard and using standard χ<sup>2</sup> critical values may lead to incorrect inference as the tails of the distribution of tests...