STARTEST - LM test for ESTAR/LSTAR effects
Posted: Mon Aug 20, 2012 11:11 amThis 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 (viewtopic.php?f=8&t=1586). A similar test which can be used in more general situations than an autoregression is @RegSTRTest (viewtopic.php?f=7&t=1807).
@StarTest( options ) y start end
Options
D=delay on threshold variable [1]
P=lags in the autoregression [1]
TITLE=title for output ["Test for STAR in series ..."]
WEIGHTS=series of observation weights [equally weighted]
[PRINT]/NOPRINT
The WEIGHTS option can be used to adjust for outliers (viewtopic.php?f=8&t=1587).
Sample Output
This is a table of tests of interaction terms between the regressors and powers (1, 2 and 3) of the threshold lag.
Linearity is the joint test of all the interaction terms
H01 is a test of the first order interaction terms only
H02 is a test of the second order interaction terms only
H03 is a test of the third order interaction terms only
H12 is a test of the first and second order interactions terms only
Either an LSTAR or ESTAR should cause rejection of linearity and rejection of H12. H12 is the appropriate statistic if ESTAR is the main hypothesis of interest. If, H12 is rejected, but H03 is accepted, that points towards an ESTAR model, as opposed to an LSTAR.
startest.src- Procedure file - requires RATS 7.3 or later
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@StarTest( options ) y start end
Options
D=delay on threshold variable [1]
P=lags in the autoregression [1]
TITLE=title for output ["Test for STAR in series ..."]
WEIGHTS=series of observation weights [equally weighted]
[PRINT]/NOPRINT
The WEIGHTS option can be used to adjust for outliers (viewtopic.php?f=8&t=1587).
Sample Output
- Code: Select all
Test F-stat Signif
Linearity 1.3304417 0.2536
H01 0.9515415 0.4650
H02 1.6445252 0.1777
H03 1.3025990 0.2846
H12 1.5318647 0.1751
This is a table of tests of interaction terms between the regressors and powers (1, 2 and 3) of the threshold lag.
Linearity is the joint test of all the interaction terms
H01 is a test of the first order interaction terms only
H02 is a test of the second order interaction terms only
H03 is a test of the third order interaction terms only
H12 is a test of the first and second order interactions terms only
Either an LSTAR or ESTAR should cause rejection of linearity and rejection of H12. H12 is the appropriate statistic if ESTAR is the main hypothesis of interest. If, H12 is rejected, but H03 is accepted, that points towards an ESTAR model, as opposed to an LSTAR.