Testing common nonlinear features in vector nonlinear autoregressive models
2012 (English)Report (Other academic)
This paper studies a special class of vector smooth-transition autoregressive (VSTAR) models that contains common nonlinear features (CNFs), for which we proposed a triangular representation and developed a procedure of testing CNFs in a VSTAR model. We first test a unit root against a stable STAR process for each individual time series and then examine whether CNFs exist in the system by Lagrange Multiplier (LM) test if unit root is rejected in the first step. The LM test has standard Chi-squared asymptotic distribution. The critical values of our unit root tests and small-sample properties of the F form of our LM test are studied by Monte Carlo simulations. We illustrate how to test and model CNFs using the monthly growth of consumption and income data of United States (1985:1 to 2011:11).
Place, publisher, year, edition, pages
Working papers in transport, tourism, information technology and microdata analysis, ISSN 1650-5581 ; 2012:4
Probability Theory and Statistics
Research subject Komplexa system - mikrodataanalys
IdentifiersURN: urn:nbn:se:du-11114OAI: oai:DiVA.org:du-11114DiVA: diva2:562683