A Simple Test for Linearity Against Exponential Smooth Transition Models with Endogenous Variables
10 Pages Posted: 17 Oct 2011 Last revised: 19 Apr 2017
Date Written: July 13, 2012
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.
Keywords: Exponential Smooth Transition Model, Endogeneity, Linearity Test.
JEL Classification: C12, C15, C22.
Suggested Citation: Suggested Citation