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
working papers series
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
