REGSTRTEST Procedure

@REGSTRTEST implements a general LM test for linearity vs nonlinearity in the form of Smooth Transition (either logistic or exponential) based upon a threshold variable. The basic idea behind this comes from Luukkonen, Saikkonen and Terasvirta(1988); this is just applied to a regression which isn't necessarily an autoregression and in which the threshold variable isn't necessarily one of the regressors.

The first step is to run the base linear regression. Then do

@RegSTRTest(options) (no parameters)

immediately afterwards.

Options

THRESHOLD=series for threshold variable [dependent variable of regression]

D=delay on threshold variable [1]

TITLE=title for output ["Test for STR in regression"]

WEIGHTS=series of observation weights [equally weighted]

[PRINT]/NOPRINT

The WEIGHTS option can be used to adjust for outliers.

The output is organized the same as @STARTEST and the tests have the same interpretations.