Testing for Smooth Transition Nonlinearity in the Presence of Outliers
Regime-switching models, like the smooth transition autoregressive [STAR] model, are typically applied to time series of moderate length. Hence, the nonlinear features that these models intend to describe may be reflected in only a few observations. Conversely, neglected outliers in a linear time se...
| Veröffentlicht in: | Journal of Business & Economic Statistics. - American Statistical Association, 1983. - 17(1999), 2, Seite 217-235 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1999
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| Zugriff auf das übergeordnete Werk: | Journal of Business & Economic Statistics |
| Schlagworte: | Asymptotic theory Influence function Lagrange multiplier-type tests Monte Carlo simulation Robust estimation Mathematics Philosophy Information science Economics Social sciences |