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Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent
Journal article   Peer reviewed

Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent

Rickard Sandberg
Econometrics Journal, Vol.11(3), pp.638-647
2008-11
DOI: https://doi.org/10.1111/j.1368-423X.2008.00257.x

Abstract

Linearity tests Random walk Smooth transition models Wald test
In this paper, we derive asymptotic distributions for linearity tests in time-varying smooth transition autoregressive models in the presence of a unit root. The limiting distributions are non-standard because of the unit root assumption, and it is shown that the linearity hypothesis is rejected far too often (up to 30.9% of the times at a 5% significance level) when using critical values from a chi-square distribution.

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