Details
| Original language | English |
|---|---|
| Pages (from-to) | 268-271 |
| Number of pages | 4 |
| Journal | Economics letters |
| Volume | 117 |
| Issue number | 1 |
| Early online date | 30 May 2012 |
| Publication status | Published - Oct 2012 |
Abstract
Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this work. Our findings show, in contrast to results recently reported in Zhang (2012), that linearity tests against STAR models lead to useful results in this setting.
Keywords
- Deterministic trend, Nonlinearity, Smooth transition
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Economics letters, Vol. 117, No. 1, 10.2012, p. 268-271.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - On tests for linearity against STAR models with deterministic trends
AU - Kaufmann, Hendrik
AU - Kruse, Robinson
AU - Sibbertsen, Philipp
N1 - Funding Information: We are grateful to an anonymous referee for helpful comments. Financial support by the Deutsche Forschungsgemeinschaft ( DFG ) is gratefully acknowledged. Robinson Kruse gratefully acknowledges financial support from CREATES funded by the Danish National Research Foundation .
PY - 2012/10
Y1 - 2012/10
N2 - Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this work. Our findings show, in contrast to results recently reported in Zhang (2012), that linearity tests against STAR models lead to useful results in this setting.
AB - Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this work. Our findings show, in contrast to results recently reported in Zhang (2012), that linearity tests against STAR models lead to useful results in this setting.
KW - Deterministic trend
KW - Nonlinearity
KW - Smooth transition
UR - http://www.scopus.com/inward/record.url?scp=84861980535&partnerID=8YFLogxK
U2 - 10.1016/j.econlet.2012.05.025
DO - 10.1016/j.econlet.2012.05.025
M3 - Article
AN - SCOPUS:84861980535
VL - 117
SP - 268
EP - 271
JO - Economics letters
JF - Economics letters
SN - 0165-1765
IS - 1
ER -