On tests for linearity against STAR models with deterministic trends

Kaufmann, Hendrik; Kruse, Robinson; Sibbertsen, Philipp

Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/73130

Title:

On tests for linearity against STAR models with deterministic trends

Authors:

Kaufmann, Hendrik
Kruse, Robinson
Sibbertsen, Philipp

Year of Publication:

2012

Series/Report no.:

Diskussionsbeitrag No. 492

Publisher:

Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, Hannover

Abstract:

Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this paper. As opposed to recently reported results in Zhang (2012), we show that linearity tests against STAR models lead to useful results in this setting.

Subjects:

Nonlinearity
Smooth transition
Deterministic trend

JEL:

C12
C22

Document Type:

Working Paper

Appears in Collections:

Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät - Hannover Economic Papers (HEP), Leibniz Universität Hannover

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