TESTING THE ADEQUACY OF SMOOTH TRANSITION AUTOREGRESSIVE MODELS

Citation
O. Eitrheim et T. Terasvirta, TESTING THE ADEQUACY OF SMOOTH TRANSITION AUTOREGRESSIVE MODELS, Journal of econometrics, 74(1), 1996, pp. 59-75
Citations number
17
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences","Mathematics, Miscellaneous
Journal title
ISSN journal
03044076
Volume
74
Issue
1
Year of publication
1996
Pages
59 - 75
Database
ISI
SICI code
0304-4076(1996)74:1<59:TTAOST>2.0.ZU;2-U
Abstract
Smooth transition autoregressive models are a flexible family of nonli near time series models that have also been used for modelling economi c data. This paper contributes to the evaluation stage of a proposed s pecification, estimation, and evaluation cycle of these models by intr oducing a Lagrange multiplier (LM) test for the hypothesis of no error autocorrelation and LM-type tests for the hypothesis of no remaining nonlinearity and that of parameter constancy. Small-sample properties of the F versions of these tests and some alternative test statistics are investigated by simulation. The results indicate that the proposed tests can be applied in small samples already.