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- W2626712720 abstract "Abstract Linearity tests against smooth transition nonlinearity are typically based on the standard least-squares (LS) covariance matrix estimator. We derive an expression for the bias of the LS estimator in the presence of ARCH errors. We show that the bias is downward, and increases dramatically with the persistence of the variance process. As a consequence, conventional tests spuriously indicate nonlinearity. Next, we examine an alternative maximum likelihood approach. Our findings suggest that this approach has substantially better size properties than tests based on least-squares and heteroskedasticity-consistent matrix estimators, and performs comparably to a bootstrap technique." @default.
- W2626712720 created "2017-06-23" @default.
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- W2626712720 date "2017-07-21" @default.
- W2626712720 modified "2023-09-28" @default.
- W2626712720 title "The spurious effect of ARCH errors on linearity tests: a theoretical note and an alternative maximum likelihood approach" @default.
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- W2626712720 doi "https://doi.org/10.1515/snde-2016-0055" @default.
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