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Linearity and misspecification tests for vector smooth transition regression models
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Document type | Document de travail (Working Paper) |
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Access type | Accès libre |
Publication date | 2014 |
Language | Anglais |
Number of pages | 38 pages |
Collection | CORE Discussion Papers - 2014/61 |
Affiliations |
UCL
- SSH/LIDAM/CORE - Center for operations research and econometrics Aahrus University - CREATES |
Keywords | Vector STAR models ; Linearity test ; Misspecification test ; Vector nonlinear time series ; Serial correlation ; Parameter constancy ; Residual nonlinearity test. |
Links |
Bibliographic reference | Terasvirta, Timo ; Yang, Yukai. Linearity and misspecification tests for vector smooth transition regression models. CORE Discussion Papers ; 2014/61 (2014) 38 pages |
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Permanent URL | http://hdl.handle.net/2078.1/152767 |