Department of Economics and Business Economics

Timo Teräsvirta

Linearity and Misspecification Tests for Vector Smooth Transition Regression Models

Research output: Working paperResearch

Standard

Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. / Teräsvirta, Timo; Yang, Yukai.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

Research output: Working paperResearch

Harvard

Teräsvirta, T & Yang, Y 2014 'Linearity and Misspecification Tests for Vector Smooth Transition Regression Models' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Teräsvirta, T., & Yang, Y. (2014). Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. Aarhus: Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2014-4

CBE

Teräsvirta T, Yang Y. 2014. Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Teräsvirta, Timo and Yukai Yang Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2014-4). 2014., 39 p.

Vancouver

Teräsvirta T, Yang Y. Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. Aarhus: Institut for Økonomi, Aarhus Universitet. 2014 Feb 17.

Author

Teräsvirta, Timo ; Yang, Yukai. / Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. Aarhus : Institut for Økonomi, Aarhus Universitet, 2014. (CREATES Research Papers; No. 2014-4).

Bibtex

@techreport{4463560ab93c4fa897c83615f7909559,
title = "Linearity and Misspecification Tests for Vector Smooth Transition Regression Models",
abstract = "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.",
keywords = "Vector STAR models, Linearity test, Misspecification test, Vector nonlinear time series, Serial correlation, Parameter constancy, Residual nonlinearity",
author = "Timo Ter{\"a}svirta and Yukai Yang",
year = "2014",
month = "2",
day = "17",
language = "English",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Linearity and Misspecification Tests for Vector Smooth Transition Regression Models

AU - Teräsvirta, Timo

AU - Yang, Yukai

PY - 2014/2/17

Y1 - 2014/2/17

N2 - 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.

AB - 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.

KW - Vector STAR models, Linearity test, Misspecification test, Vector nonlinear time series, Serial correlation, Parameter constancy, Residual nonlinearity

M3 - Working paper

BT - Linearity and Misspecification Tests for Vector Smooth Transition Regression Models

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -