REGSTRTEST—General LM Test for STR

[TomDoan]

@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), "Testing Linearity against smooth transition autoregressive models", Biometrika, vol 75, 491-499; 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.

Detailed description