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加权平滑转换回归AI 解读

SUMMARY A new procedure is proposed for modelling nonlinearity of a smooth transition form, by allowing the transition variable to be a weighted function of lagged observations. This function depends on two unknown parameters and requires specification of the maximum lag only. Nonlinearity testing for this specification uses a search over a plausible set of weight function parameters, combined with bootstrap inference. Finite‐sample results show that the recommended wild…

参数时间依赖的一般检验AI 解读

Abstract A new test for time‐dependent parameters is proposed. The Trig ‐test is based on a trigonometric expansion to approximate the unknown functional form of the variation in the parameters concerned. It is shown to have the correct empirical size and excellent power to detect structural breaks and stochastic parameter variation. The appropriate use of the Trig ‐test is demonstrated by testing for structural breaks in the US inflation rate. The test detects a…