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Cited by 1,363

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Testing linearity against smooth transition autoregressive models

LUUKKONEN, RITVA, SAIKKONEN, PENTTI, TERÄSVIRTA, TIMO·1988·Biometrika
DOI 10.1093/biomet/75.3.491
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Abstract

We study a general univariate smooth transition autoregressive, star, model. It contains as a special case the self-exciting threshold autoregressive, setar, model. We present three tests for testing linearity against star models and discuss their properties. The power of the tests in small samples is investigated by simulation when the alternative is the logistic star model. One of the tests is identical to Tsay's (1986) test statistic and is recommended only in a special case. Of the two remaining tests with wider applicability, one seems superior to the other in small samples. It is also more powerful than the cusum test recently proposed for testing linearity against setar models.

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Metadata

Authors
LUUKKONEN, R., SAIKKONEN, P., & TERÄSVIRTA, T.
Venue
Biometrika
Publisher
Oxford University Press (OUP)
Published
1988
Volume
75
Issue
3
Pages
491-499
ISSN
  • 0006-3444 (ISSN-L)
  • 1464-3510
DOI
10.1093/biomet/75.3.491
OpenAlex
W1988789713
Cited by
1,363
References
0
FWCI
2.95
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Testing linearity against smooth transition autoregressive models. https://app.cochat.ai/papers/10.1093/biomet/75.3.491
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LUUKKONEN, R., SAIKKONEN, P., & TERÄSVIRTA, T. (1988). Testing linearity against smooth transition autoregressive models. Biometrika. https://doi.org/10.1093/biomet/75.3.491

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