REGSTRTEST - General LM Test for STR

[TomDoan]

This 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.

RegSTRTest.src

Procedure file

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The first step is to run the base linear regression. Then do

@RegSTRTest(options)

immediately afterwards.

Options

THRESHOLD=series for threshold variable [dependent variable of regression]
D=delay on threshold variable [1]
TITLE=title for output ["Test for STR in regression"]
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).

The output is organized the same as @STARTest (viewtopic.php?f=7&t=1456) and the tests have the same interpretations.