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STARTEST—LM test for ESTAR/LSTAR effects
Posted: Mon Aug 20, 2012 11:11 am
by TomDoan
@STARTest does an does an LM test for linearity vs an alternative of LSTAR or ESTAR (smooth transition autoregression) in a univariate autoregression. This was proposed by
Terasvirta(1994), "Specification, Estimation and Evaluation of Smooth Transition Autoregressive Models", JASA, vol 89, no. 425, pp 208-218. A similar test which can be used in more general situations than an autoregression is
@RegSTRTest.
Detailed description
Re: STARTEST - LM test for ESTAR/LSTAR effects
Posted: Wed Dec 12, 2012 4:27 am
by nbcheikh
Hi Tom,
Can we use the StarTest procedure for the multivariate case as follow ?
@StarTest( options ) depvar start end
# list of explanatory variables
Re: STARTEST - LM test for ESTAR/LSTAR effects
Posted: Thu Sep 13, 2018 12:15 pm
by TomDoan
nbcheikh wrote:Hi Tom,
Can we use the StarTest procedure for the multivariate case as follow ?
@StarTest( options ) depvar start end
# list of explanatory variables
Depending upon what you're trying to do, that may be covered by
@RegSTRTest.