Linearity and Misspecification Tests for Vector Smooth Transition Regression Models

Publikation: Working paperForskning

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In this paper, we derive Lagrange multiplier and Lagrange multiplier type specification and misspecification tests for vector smooth transition models. We report results from simulation studies in which the size and power properties of the proposed tests in small samples are considered. The results show that these asymptotic tests generally suffer from size distortion. We find thatWilks’s lambda and Rao’s F statistic both have satisfactory size properties and can be recommended for empirical use. Bootstrapping the standard asymptotic LM statistic offers another solution to the problem.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider39
StatusUdgivet - 17 feb. 2014
SerietitelCREATES Research Papers
Nummer2014-4

    Forskningsområder

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

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