Linearity tests and stochastic trend under the STAR framework

Lingxiang Zhang

doi:10.1007/s00362-018-1047-4

Linearity tests and stochastic trend under the STAR framework

Lingxiang Zhang^*

^*此作品的通讯作者

科研成果: 期刊稿件 › 文章 › 同行评审

摘要

This study investigates the linearity test of smooth transition autoregressive models when the true data generating process is a stochastic trend process. Results show that, under the null hypothesis of linearity, the asymptotic distribution of the W statistic proposed by Teräsvirta (J Am Stat Assoc 89:208–218, 1994) follows the χ² distribution, whereas the finite sample distribution does not. A maximized Monte Carlo simulation-based test is used to perform the linearity test, and the results show good performance.

源语言	英语
页（从-至）	2271-2282
页数	12
期刊	Statistical Papers
卷	61
期	6
DOI	https://doi.org/10.1007/s00362-018-1047-4
出版状态	已出版 - 1 12月 2020

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title = "Linearity tests and stochastic trend under the STAR framework",

abstract = "This study investigates the linearity test of smooth transition autoregressive models when the true data generating process is a stochastic trend process. Results show that, under the null hypothesis of linearity, the asymptotic distribution of the W statistic proposed by Ter{\"a}svirta (J Am Stat Assoc 89:208{\textendash}218, 1994) follows the χ2 distribution, whereas the finite sample distribution does not. A maximized Monte Carlo simulation-based test is used to perform the linearity test, and the results show good performance.",

keywords = "Linearity, Maximized Monte Carlo simulation-based test, STAR, Stochastic trend",

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AB - This study investigates the linearity test of smooth transition autoregressive models when the true data generating process is a stochastic trend process. Results show that, under the null hypothesis of linearity, the asymptotic distribution of the W statistic proposed by Teräsvirta (J Am Stat Assoc 89:208–218, 1994) follows the χ2 distribution, whereas the finite sample distribution does not. A maximized Monte Carlo simulation-based test is used to perform the linearity test, and the results show good performance.

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Linearity tests and stochastic trend under the STAR framework

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