STARTEST—LM test for ESTAR/LSTAR effects

[TomDoan]

@STARTest 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. A similar test which can be used in more general situations than an autoregression is @RegSTRTest.

Detailed description

[nbcheikh]

Hi Tom,
Can we use the StarTest procedure for the multivariate case as follow ?

@StarTest( options ) depvar start end
# list of explanatory variables

[TomDoan]

Hi Tom,
Can we use the StarTest procedure for the multivariate case as follow ?

@StarTest( options ) depvar start end
# list of explanatory variables

Depending upon what you're trying to do, that may be covered by @RegSTRTest.