Testing for Threshold Effects in Presence of Heteroskedasticity and Measurement Error with an application to Italian Strikes
异方差与测量误差下的门限效应检验：意大利罢工应用
Many macroeconomic time series are characterised by nonlinearity both in the conditional mean and in the conditional variance and, in practice, it is important to investigate separately these two aspects. Here we address the issue of testing for threshold nonlinearity in the conditional mean, in the presence of conditional heteroskedasticity. We propose a supremum Lagrange Multiplier approach to test a linear ARMA-GARCH model against the alternative of a TARMA-GARCH model.…