A Simple Test for Linearity Against Exponential Smooth Transition Models with Endogenous Variables
Einaudi Institute for Economics and Finance (EIEF)
November 10, 2011
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, C22working papers series
Date posted: October 17, 2011 ; Last revised: November 10, 2011
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