Abstract

http://ssrn.com/abstract=1945127
 
 

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A Simple Test for Linearity Against Exponential Smooth Transition Models with Endogenous Variables


Daniele Massacci


Einaudi Institute for Economics and Finance (EIEF)

November 10, 2011


Abstract:     
This paper proposes a test for linearity against exponential smooth transition models with endogenous right-hand-side variables: to the very best of our knowledge, this class of models is new to the literature. By Monte Carlo analysis the test is shown to have good finite sample properties.

Number of Pages in PDF File: 10

Keywords: Exponential Smooth Transition Model, Endogeneity, Linearity Test

JEL Classification: C12, C15, C22

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Date posted: October 17, 2011 ; Last revised: November 10, 2011

Suggested Citation

Massacci, Daniele, A Simple Test for Linearity Against Exponential Smooth Transition Models with Endogenous Variables (November 10, 2011). Available at SSRN: http://ssrn.com/abstract=1945127 or http://dx.doi.org/10.2139/ssrn.1945127

Contact Information

Daniele Massacci (Contact Author)
Einaudi Institute for Economics and Finance (EIEF) ( email )
Via Due Macelli, 73
Rome, 00187
Italy
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