Weighted Smooth Transition Regressions
نویسندگان
چکیده
A new procedure is developed for modelling and testing nonlinearity of a smooth transition form, allowing the possibility that the transition variable is a weighted function of lagged observations. This is achieved through use of a beta function and requires speci cation of only the maximum permissable lag. Nonlinearity testing uses a search over the beta function parameters, with inference explicitly reconising these are unidenti ed under the null hypothesis. A wild boostrap procedure is recommended to allow for heteroscedasticity of unknown form, with a Monte Carlo study showing this to perform well even for a homoscedastic DGP. Estimation issues are also discussed. An application to the yield curve as a predictor of quarterly UK growth illustrates the usefulness of the procedure for modelling data of mixed frequencies. Corresponding author Ralf Becker Economics, School of Social Sciences University of Manchester Manchester M13 9PL, UK email [email protected] Ph +44 (0)161 275 4807.
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