Similar Search Results

Time-varying smooth transition autoregressive models

Lundbergh, Stefan; Teräsvirta, Timo; Dijk, Dick van - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 1, pp. 104-121

Persistent link: https://www.econbiz.de/10001728841

Time-varying smooth transition autoregressive models

Lundbergh, Stefan; Teräsvirta, Timo; Dijk, Dick van - 2000

Persistent link: https://www.econbiz.de/10001464665

Simulation-based finite sample linearity test against smooth transition models

González, Andrés; Teräsvirta, Timo - In: Oxford bulletin of economics and statistics 68 (2006), pp. 797-812

Persistent link: https://www.econbiz.de/10003393516

Simulation-based finite-sample linearity test against smooth transition models

González, Andrés (contributor); … - 2005

In this paper we use Monte Carlo testing techniques for testing linearity against the smooth transition models. The Monte Carlo approach allows us to introduce a new test that differs from the tests existing in the literature in two respects. First, the test is exact in the sense that the...