Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/73130
Authors: 
Kaufmann, Hendrik
Kruse, Robinson
Sibbertsen, Philipp
Year of Publication: 
2012
Series/Report no.: 
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät, Universität Hannover 492
Abstract: 
Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this paper. As opposed to recently reported results in Zhang (2012), we show that linearity tests against STAR models lead to useful results in this setting.
Subjects: 
Nonlinearity
Smooth transition
Deterministic trend
JEL: 
C12
C22
Document Type: 
Working Paper

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