Testing Linearity Against Smooth Transition Autoregressive Models
研究了一般的单变量平滑转换自回归（STAR）模型，提出了三种检验线性性对STAR模型的统计检验方法，并通过模拟比较了它们在逻辑STAR模型下的小样本功效。
We study a general univariate smooth transition autoregressive, star, model. It contains as a special case the self-exciting threshold autoregressive, setar, model. We present three tests for testing linearity against star models and discuss their properties. The power of the tests in small samples is investigated by simulation when the alternative is the logistic star model. One of the tests is identical to Tsay's (1986) test statistic and is recommended only in a special case. Of the two remaining tests with wider applicability, one seems superior to the other in small samples. It is also more powerful than the cusum test recently proposed for testing linearity against setar models.