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Linearity and Misspecification Tests for Vector Smooth Transition Regression Models
CREATES, Aarhus University.ORCID iD: 0000-0002-0947-2114
CREATES, Aarhus University; FINS, Vrije Universiteit Brussel.ORCID iD: 0000-0002-2623-8549
2014 (English)Report (Other academic)
Abstract [en]

The purpose of the paper is to derive Lagrange multiplier and Lagrange multiplier type specification and misspecification tests for vector smooth transition regression models. We report results from simulation studies in which the size and power properties of the proposed asymptotic tests in small samples are considered. The results on simulating the size show that these tests generally suffer from positive size distortion. We find that both Wilks’s Λ and Rao’s F statistic, the latter in particular, have satisfactory size properties and can generally be recommended for empirical use. The local asymptotic power and finite sample power properties of these tests are studied as well.

Place, publisher, year, edition, pages
2014. , p. 36
Series
CREATES research paper / CREATES, Aarhus University ; 2014-04
Keywords [en]
Smooth transition model; Linearity test; Misspecification test; Vector nonlinear time series; Serial correlation; Parameter constancy; Additive nonlinearity
National Category
Economics Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:uu:diva-371956OAI: oai:DiVA.org:uu-371956DiVA, id: diva2:1274969
Funder
Danish National Research Foundation, DNFR78Available from: 2019-01-03 Created: 2019-01-03 Last updated: 2019-01-04Bibliographically approved

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