Journal of the Korean Statistical Society

  • 제36권2호
  • /
  • Pages.257-274
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  • 2007
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  • 1226-3192(pISSN)
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  • 2005-2863(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

TESTING FOR SMOOTH TRANSITION NONLINEARITY IN PARTIALLY NONSTATIONARY VECTOR AUTOREGRESSIONS

  • 발행 : 2007.06.30
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초록

This paper considers the tests for the presence of smooth transition non-linearity in the partially nonstationary vector autoregressive model. The transition parameters cannot be identified under the null hypothesis of linearity, and therefore this paper develops the tests for smooth transition nonlinearity, the associated asymptotic theory and the bootstrap inference. The Monte Carlo simulation evidence shows that the bootstrap inference generates moderate size and power performances.

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참고문헌

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