SSE/EFI Working Paper Series in Economics and Finance
No 317:
An ARCH Robust STAR Test
Michael K. Andersson, Bruno Eklund ()
and Johan Lyhagen ()
Abstract: The LM type linearity test for STAR nonlinearities is
severely distorted when the process is governed by conditional
heteroskedasticity. In order to correct the test we propose a parametric
bootstrap. It is shown, by means of Monte Carlo methods, that the bootstrap
test is almost exact.
Keywords: Smooth transition autoregressive models; Bootstrap; Parametric resampling; Size distortion; Power; (follow links to similar papers)
JEL-Codes: C12; C22; (follow links to similar papers)
11 pages, May 11, 1999
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