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Testing Nonlinearity: Decision Rules for Selecting between Logistic and Exponential STAR Models

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorEscribano, Álvaro
dc.contributor.authorJordá, Óscar
dc.date.accessioned2009-02-10T13:22:03Z
dc.date.available2009-02-10T13:22:03Z
dc.date.issued2001
dc.description.abstractA new LM specification procedure to choose between Logistic and Exponential Smooth Transition Autoregressive (STAR) models is introduced. The new decision rule has better properties than those previously available in the literature when the model is ESTAR and similar properties when the model is LSTAR. A simple natural extension of the usual LM-test for linearity is introduced and evaluated in terms of power. Monte-Carlo simulations and empirical evidence are provided in support of our claims.
dc.description.statusPublicado
dc.format.mimetypetext/plain
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationSpanish Economic Review, 2001, vol. 3, nº 3, p. 193-209
dc.identifier.doi10.1007/PL00011442
dc.identifier.issn1435-5477
dc.identifier.urihttps://hdl.handle.net/10016/2564
dc.language.isoeng
dc.publisherSpringer
dc.relation.publisherversionhttp://dx.doi.org/10.1007/PL00011442
dc.rights.accessRightsopen access
dc.subject.ecienciaEconomía
dc.subject.jelC12
dc.subject.jelC22
dc.subject.otherLM linearity tests
dc.subject.othersmooth transition autoregressive models
dc.subject.othernonlinear models
dc.titleTesting Nonlinearity: Decision Rules for Selecting between Logistic and Exponential STAR Models
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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