Smooth transition autoregressive models are a flixible family of nonlinear time series models that have also been used for modelling economic data. This paper contributes to the evaluation stage of a proposed specification, estimation, and evaluation cycle of this models by introducing a Lagrange multiplier (LM) test for the hypothesis of no error autocorrelation and LM type tests for the hypothesis of remaining nonlinearity and that of parameter constancy. Small sample properies of the F versions of the tests and some alternative tests are investigated by simulation. The results indicate that the proposed tests can be applied in small samples already.
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Length: 23 pages Date of creation: May 1995 Date of revision: Publication status: Published in Journal of Econometrics, 1996, pages 59-75 Handle: RePEc:hhs:hastef:0056
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Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
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