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| Author: | Eitrheim, O. Terasvirta, T. |
| Title: | Testing the adequacy of smooth transition autoregressive models |
| Journal: | Journal of Econometrics
1996 : SEP, VOL. 74:1, p. 59-76 |
| Index terms: | ECONOMETRICS ECONOMICS AUTOREGRESSION |
| Language: | eng |
| Abstract: | Smooth transition autoregressive models are flexible 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 these models by introducing 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. |
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