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...

Ausführliche Beschreibung

Bibliographische Detailangaben
Veröffentlicht in:	Journal of Business & Economic Statistics. - American Statistical Association, 1983. - 17(1999), 2, Seite 217-235
1. Verfasser:	Van Dijk, Dick (VerfasserIn)
Weitere Verfasser:	Franses, Philip Hans, Lucas, André
Format:	Online-Aufsatz
Sprache:	English
Veröffentlicht:	1999
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


LEADER	01000caa a22002652 4500
001	JST045334293
003	DE-627
005	20240621104759.0
007	cr uuu---uuuuu
008	150324s1999 xx \|\|\|\|\|o 00\| \|\|eng c
024	7		\|a 10.2307/1392477 \|2 doi
035			\|a (DE-627)JST045334293
035			\|a (JST)1392477
040			\|a DE-627 \|b ger \|c DE-627 \|e rakwb
041			\|a eng
100	1		\|a Van Dijk, Dick \|e verfasserin \|4 aut
245	1	0	\|a Testing for Smooth Transition Nonlinearity in the Presence of Outliers
264		1	\|c 1999
336			\|a Text \|b txt \|2 rdacontent
337			\|a Computermedien \|b c \|2 rdamedia
338			\|a Online-Ressource \|b cr \|2 rdacarrier
520			\|a 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 series of moderate length may incorrectly suggest STAR (or other) type(s of) nonlinearity. In this article we propose outlier robust tests for STAR-type nonlinearity. These tests are designed such that they have a better level and power behavior than standard nonrobust tests in situations with outliers. We formally derive local and global robustness properties of the new tests. Extensive Monte Carlo simulations show the practical usefulness of the robust tests. An application to several quarterly industrial production indexes illustrates that apparent nonlinearity in time series sometimes seems due to only a few outliers.
540			\|a Copyright 1999 American Statistical Association
650		4	\|a Asymptotic theory
650		4	\|a Influence function
650		4	\|a Lagrange multiplier-type tests
650		4	\|a Monte Carlo simulation
650		4	\|a Robust estimation
650		4	\|a Mathematics \|x Applied mathematics \|x Statistics \|x Applied statistics \|x Inferential statistics \|x Statistical estimation \|x Estimation methods \|x Estimators
650		4	\|a Mathematics \|x Applied mathematics \|x Statistics \|x Applied statistics \|x Descriptive statistics \|x Statistical distributions \|x Outliers
650		4	\|a Philosophy \|x Logic \|x Logical topics \|x Formal logic \|x Mathematical logic \|x Denotational semantics \|x Mathematical linearity \|x Nonlinearity
650		4	\|a Information science \|x Data products \|x Datasets \|x Time series
650		4	\|a Mathematics \|x Applied mathematics \|x Statistics \|x Applied statistics \|x Statistical models \|x Time series models
650		4	\|a Economics \|x Economic disciplines \|x Applied economics \|x Economic modeling \|x Economic models
650		4	\|a Mathematics \|x Applied mathematics \|x Statistics \|x P values
650		4	\|a Philosophy \|x Applied philosophy \|x Philosophy of science \|x Scientific method \|x Hypothesis testing \|x Null hypothesis
650		4	\|a Mathematics \|x Applied mathematics \|x Statistics \|x Statistical theories
650		4	\|a Social sciences \|x Development studies \|x Development economics \|x Economic development \|x Economic transitions
655		4	\|a research-article
700	1		\|a Franses, Philip Hans \|e verfasserin \|4 aut
700	1		\|a Lucas, André \|e verfasserin \|4 aut
773	0	8	\|i Enthalten in \|t Journal of Business & Economic Statistics \|d American Statistical Association, 1983 \|g 17(1999), 2, Seite 217-235 \|w (DE-627)327084073 \|w (DE-600)2043744-4 \|x 07350015 \|7 nnns
773	1	8	\|g volume:17 \|g year:1999 \|g number:2 \|g pages:217-235
856	4	0	\|u https://www.jstor.org/stable/1392477 \|3 Volltext
856	4	0	\|u https://doi.org/10.2307/1392477 \|3 Volltext
912			\|a GBV_USEFLAG_A
912			\|a SYSFLAG_A
912			\|a GBV_JST
912			\|a GBV_ILN_11
912			\|a GBV_ILN_20
912			\|a GBV_ILN_22
912			\|a GBV_ILN_23
912			\|a GBV_ILN_24
912			\|a GBV_ILN_26
912			\|a GBV_ILN_31
912			\|a GBV_ILN_39
912			\|a GBV_ILN_40
912			\|a GBV_ILN_60
912			\|a GBV_ILN_62
912			\|a GBV_ILN_63
912			\|a GBV_ILN_65
912			\|a GBV_ILN_69
912			\|a GBV_ILN_70
912			\|a GBV_ILN_90
912			\|a GBV_ILN_100
912			\|a GBV_ILN_101
912			\|a GBV_ILN_110
912			\|a GBV_ILN_120
912			\|a GBV_ILN_187
912			\|a GBV_ILN_224
912			\|a GBV_ILN_285
912			\|a GBV_ILN_370
912			\|a GBV_ILN_374
912			\|a GBV_ILN_647
912			\|a GBV_ILN_702
912			\|a GBV_ILN_2001
912			\|a GBV_ILN_2003
912			\|a GBV_ILN_2005
912			\|a GBV_ILN_2006
912			\|a GBV_ILN_2007
912			\|a GBV_ILN_2008
912			\|a GBV_ILN_2009
912			\|a GBV_ILN_2010
912			\|a GBV_ILN_2011
912			\|a GBV_ILN_2014
912			\|a GBV_ILN_2015
912			\|a GBV_ILN_2018
912			\|a GBV_ILN_2020
912			\|a GBV_ILN_2021
912			\|a GBV_ILN_2026
912			\|a GBV_ILN_2027
912			\|a GBV_ILN_2034
912			\|a GBV_ILN_2044
912			\|a GBV_ILN_2050
912			\|a GBV_ILN_2056
912			\|a GBV_ILN_2057
912			\|a GBV_ILN_2061
912			\|a GBV_ILN_2088
912			\|a GBV_ILN_2093
912			\|a GBV_ILN_2107
912			\|a GBV_ILN_2110
912			\|a GBV_ILN_2111
912			\|a GBV_ILN_2129
912			\|a GBV_ILN_2190
912			\|a GBV_ILN_2336
912			\|a GBV_ILN_2507
912			\|a GBV_ILN_2548
912			\|a GBV_ILN_2938
912			\|a GBV_ILN_2941
912			\|a GBV_ILN_2947
912			\|a GBV_ILN_2949
912			\|a GBV_ILN_2950
912			\|a GBV_ILN_4012
912			\|a GBV_ILN_4035
912			\|a GBV_ILN_4037
912			\|a GBV_ILN_4046
912			\|a GBV_ILN_4112
912			\|a GBV_ILN_4125
912			\|a GBV_ILN_4126
912			\|a GBV_ILN_4242
912			\|a GBV_ILN_4251
912			\|a GBV_ILN_4305
912			\|a GBV_ILN_4306
912			\|a GBV_ILN_4307
912			\|a GBV_ILN_4313
912			\|a GBV_ILN_4322
912			\|a GBV_ILN_4323
912			\|a GBV_ILN_4324
912			\|a GBV_ILN_4325
912			\|a GBV_ILN_4335
912			\|a GBV_ILN_4346
912			\|a GBV_ILN_4392
912			\|a GBV_ILN_4393
912			\|a GBV_ILN_4700
951			\|a AR
952			\|d 17 \|j 1999 \|e 2 \|h 217-235