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On tests for linearity against STAR models with deterministic trends

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  • Kaufmann, Hendrik
  • Kruse, Robinson
  • Sibbertsen, Philipp

Abstract

Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this paper. As opposed to recently reported results in Zhang (2012), we show that linearity tests against STAR models lead to useful results in this setting.

Suggested Citation

  • Kaufmann, Hendrik & Kruse, Robinson & Sibbertsen, Philipp, 2012. "On tests for linearity against STAR models with deterministic trends," Hannover Economic Papers (HEP) dp-492, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    • Handle: RePEc:han:dpaper:dp-492
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    References listed on IDEAS

    as
    1. Robinson Kruse & Michael Frömmel & Lukas Menkhoff & Philipp Sibbertsen, 2012. "What do we know about real exchange rate nonlinearities?," Empirical Economics, Springer, vol. 43(2), pages 457-474, October.
    2. David I. Harvey & Stephen J. Leybourne, 2007. "Testing for time series linearity," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 149-165, March.
    3. Juan Cuestas & Dean Garratt, 2011. "Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing," Empirical Economics, Springer, vol. 41(3), pages 555-563, December.
    4. Rickard Sandberg, 2008. "Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent," Econometrics Journal, Royal Economic Society, vol. 11(3), pages 638-647, November.
    5. Rehim Kilic, 2004. "Linearity tests and stationarity," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 55-62, June.
    6. Taylor, Mark P & Peel, David A & Sarno, Lucio, 2001. "Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 1015-1042, November.
    7. Eric Hillebrand & Tae-Hwy Lee, 2012. "Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors," Advances in Econometrics, in: 30th Anniversary Edition, pages 171-196, Emerald Group Publishing Limited.
    8. Zhang, Lingxiang, 2012. "Test for linearity against STAR models with deterministic trends," Economics Letters, Elsevier, vol. 115(1), pages 16-19.
    9. Matt Dziubinski & Stefano Grassi, 2014. "Heterogeneous Computing in Economics: A Simplified Approach," Computational Economics, Springer;Society for Computational Economics, vol. 43(4), pages 485-495, April.
    10. Kock, Anders Bredahl & Callot, Laurent, 2015. "Oracle inequalities for high dimensional vector autoregressions," Journal of Econometrics, Elsevier, vol. 186(2), pages 325-344.
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    More about this item

    Keywords

    Nonlinearity; Smooth transition; Deterministic trend;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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