Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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TESTING FOR SMOOTH TRANSITION NONLINEARITY IN PARTIALLY NONSTATIONARY VECTOR AUTOREGRESSIONS

  • Published : 2007.06.30
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Abstract

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.

Keywords

References

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