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• W2112309801 abstract "Building upon the work of Vogelsang (1998) and Harvey and Leybourne (2007) we derive tests that are invariant to the order of integration when the null hypothesis of linearity is tested in time-varying smooth transition models. As heteroscedasticity may lead to spurious rejections of the null hypothesis, a White correction is also considered. The asymptotic properties of the tests are studied. Our Monte Carlo simulations suggest that the newly proposed tests exhibit good size and competitive power properties. An empirical application to US inflation data from the Post-Bretton Woods period underlines the empirical usefulness of our tests." @default.
• W2112309801 created "2016-06-24" @default.
• W2112309801 creator A5046809367 @default.
• W2112309801 creator A5054920537 @default.
• W2112309801 date "2010-07-26" @default.
• W2112309801 modified "2023-09-27" @default.
• W2112309801 title "Linearity Testing in Time-Varying Smooth Transition Autoregressive Models under Unknown Degree of Persistency" @default.
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• W2112309801 hasPublicationYear "2010" @default.
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