Test for linearity against STAR models with deterministic trends

Lingxiang Zhang

doi:10.1016/j.econlet.2011.11.018

Test for linearity against STAR models with deterministic trends

Lingxiang Zhang^*

^*此作品的通讯作者

科研成果: 期刊稿件 › 文章 › 同行评审

2 引用（Scopus）

摘要

This paper studies the linearity test of STAR models with deterministic trends. The results show that when the data generation process includes a deterministic trend, the Wald-type statistic proposed byTeräsvirta (1994) does not follow the standard χ ² distribution, but degenerates at the speed of T. Moreover, when the test for linearity is performed based on the residual of ordinary least squares detrending, the statistical power of the test is very low even when the Wald statistic follows the χ ² distribution.

源语言	英语
页（从-至）	16-19
页数	4
期刊	Economics Letters
卷	115
期	1
DOI	https://doi.org/10.1016/j.econlet.2011.11.018
出版状态	已出版 - 4月 2012

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10.1016/j.econlet.2011.11.018

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title = "Test for linearity against STAR models with deterministic trends",

abstract = "This paper studies the linearity test of STAR models with deterministic trends. The results show that when the data generation process includes a deterministic trend, the Wald-type statistic proposed byTer{\"a}svirta (1994) does not follow the standard χ 2 distribution, but degenerates at the speed of T. Moreover, when the test for linearity is performed based on the residual of ordinary least squares detrending, the statistical power of the test is very low even when the Wald statistic follows the χ 2 distribution.",

keywords = "Deterministic trend, Linearity, STAR",

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AU - Zhang, Lingxiang

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N2 - This paper studies the linearity test of STAR models with deterministic trends. The results show that when the data generation process includes a deterministic trend, the Wald-type statistic proposed byTeräsvirta (1994) does not follow the standard χ 2 distribution, but degenerates at the speed of T. Moreover, when the test for linearity is performed based on the residual of ordinary least squares detrending, the statistical power of the test is very low even when the Wald statistic follows the χ 2 distribution.

AB - This paper studies the linearity test of STAR models with deterministic trends. The results show that when the data generation process includes a deterministic trend, the Wald-type statistic proposed byTeräsvirta (1994) does not follow the standard χ 2 distribution, but degenerates at the speed of T. Moreover, when the test for linearity is performed based on the residual of ordinary least squares detrending, the statistical power of the test is very low even when the Wald statistic follows the χ 2 distribution.

KW - Deterministic trend

KW - Linearity

KW - STAR

UR - https://www.scopus.com/pages/publications/83455177856

U2 - 10.1016/j.econlet.2011.11.018

DO - 10.1016/j.econlet.2011.11.018

M3 - Article

AN - SCOPUS:83455177856

SN - 0165-1765

VL - 115

SP - 16

EP - 19

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

Test for linearity against STAR models with deterministic trends

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