Michael K. Andersson
, Bruno Eklund
() and Johan Lyhagen
Michael K. Andersson: Dept. of Economic Statistics, Stockholm School of Economics, Postal: P.O. Box 6501, S-113 83 Stockholm, Sweden
Bruno Eklund: Dept. of Economic Statistics, Stockholm School of Economics, Postal: P.O. Box 6501, S-113 83 Stockholm, Sweden
Johan Lyhagen: Department of Information Science, Uppsala University, Postal: P.O. Box 513, SE-751 20 Uppsala, Sweden
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.
11 pages, May 11, 1999
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