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The Economic Research Institute, Stockholm School of Economics 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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