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- W2043281684 abstract "This article considers tests for logistic smooth transition autoregressive (LSTAR) models accommodating multiple time dependent transitions between regimes when the data generating process is a random walk. The asymptotic null distributions of the tests, in contrast to the standard results in Lin and Teräsvirta (1994 Lin , C. F. J. , Teräsvirta , T. ( 1994 ). Testing the constancy of regression parameters against continuous structural change . Journal of Econometrics 62 : 211 – 228 .[Crossref], [Web of Science ®] , [Google Scholar]), are nonstandard. Monte Carlo experiments reveal that the tests have modest size distortions and satisfactory power against LSTAR models with multiple smooth breaks. The tests are applied to Swedish unemployment rates and the hysteresis hypothesis is over-turned in favour of an LSTAR model with two transitions between extreme regimes." @default.
- W2043281684 created "2016-06-24" @default.
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- W2043281684 date "2012-01-01" @default.
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- W2043281684 title "Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes" @default.
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- W2043281684 doi "https://doi.org/10.1080/07474938.2011.607085" @default.
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