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

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.

Keywords: Exponential Smooth Transition Model, Endogeneity, Linearity Test.

JEL Classification: C12, C15, C22.

Suggested Citation

Massacci, Daniele, A Simple Test for Linearity Against Exponential Smooth Transition Models with Endogenous Variables (July 13, 2012). Available at SSRN: https://ssrn.com/abstract=1945127 or http://dx.doi.org/10.2139/ssrn.1945127

Daniele Massacci (Contact Author)

King's College London ( email )

United Kingdom

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