134
Views
4
CrossRef citations to date
0
Altmetric
Original Articles

Testing for Smooth Transition Nonlinearity in the Presence of Outliers

, &
Pages 217-235 | Published online: 02 Jul 2012

REFERENCES

  • Balke , N. S. and Fomby , T. B. 1994 . “Large Shocks, Small Shocks, and Economic Fluctuations: Outliers in Macroeconomic Time Series,” . Journal of Applied Econometrics , 9 : 181 – 200 .
  • Bustos , O. H. and Yohai , V. J. 1986 . “Robust Estimates for ARMA Models,” . Journal of the American Statistical Association , 81 : 155 – 168 .
  • Chan , W. S. and Cheung , S. H. 1994 . “On Robust Estimation of Threshold Autoregressions” . Journal of Forecasting , 13 : 37 – 49 .
  • Chang , I. , Tiao , G. C. and Chen , C. 1988 . “Estimation of Time Series Parameters in the Presence of Outliers,” . Technometrics , 30 : 193 – 204 .
  • Chen , C. and Liu , L.-M. 1993 . “Joint Estimation of Model Parameters and Outlier Effects in Time Series,” . Journal of the American Statistical Association , 88 : 284 – 297 .
  • Coakley , C. W. and Hettmansperger , T. P. 1993 . “A Bounded Influence, High Breakdown, Efficient Regression Estimator,” . Journal of the American Statistical Association , 88 : 872 – 880 .
  • Davidson , R. and MacKinnon , J. G. 1998 . “Graphical Methods for Investigating the Size and Power of Hypothesis Tests,” . The Manchester School , 66 : 1 – 26 .
  • Davies , L. and Gather , U. 1993 . “The Identification of Multiple Outliers” (with comments and rejoinder) . Journal of the American Statistical Association , 88 : 782 – 801 .
  • Davies , R. B. 1977 . “Hypothesis Testing When a Nuisance Parameter Is Present Only Under the Alternative,” . Biometrika , 64 : 247 – 254 .
  • Davies , R. B. 1987 . “Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative,” . Biometrika , 74 : 33 – 43 .
  • Denby , L. and Martin , R. D. 1979 . “Robust Estimation of the First-Order Autoregressive Parameter,” . Journal of the American Statistical Association , 74 : 140 – 146 .
  • Franses , P. H. and Haldrup , N. 1994 . “The Effects of Additive Outliers on Tests for Unit Roots and Cointegration” . Journal of Business & Economic Statistics , 12 : 471 – 478 .
  • Granger , C. W. J. and Teräsvirta , T. 1993 . Modelling Nonlinear Economic Relationships , Oxford , , U.K. : Oxford University Press .
  • Hamilton , J. D. 1989 . “A New Approach to the Economic Analysis of Nonstationary Time Series Subject to Changes in Regime,” . Econometrica , 57 : 357 – 384 .
  • Hampel , H. R. , Ronchetti , E. M. , Rousseeuw , P. J. and Stahel , W. A. 1986 . Robust Statistics—The Approach Based on Influence Functions , New York : Wiley .
  • Handschin , E. , Kohlas , J. , Fiechter , A. and Schweppe , F. 1975 . “Bad Data Analysis for Power System State Estimation,” . IEEE Transactions on Power Apparatus and Systems , 2 : 329 – 337 .
  • Hoek , H. , Lucas , A. and Van Dijk , H. K. 1995 . “Classical and Bayesian Aspects of Robust Unit Root Inference,” . Journal of Econometrics , 69 : 27 – 59 .
  • Huber , P. J. 1981 . Robust Statistics , New York : Wiley .
  • Jansen , E. S. and Teräsvirta , T. 1996 . “Testing Parameter Constancy and Super Exogeneity in Econometric Equations,” . Oxford Bulletin of Economics and Statistics , 58 : 735 – 768 .
  • Lucas , A. 1995 . “Unit Root Tests Based on M Estimators,” . Econometric Theory , 11 : 331 – 346 .
  • Lucas , A. 1996 . “Outlier Robust Unit Root Testing,” , Tinbergen Institute . unpublished PhD thesis, downloadable from http://www.econ.vu.nl/vakgroep/bfs/aim/lucas/thesis/
  • Lucas , A. , Van Dijk , R. and Kloek , T. 1996 . “Outlier Robust GMM Estimation of Leverage Determinants in Linear Dynamic Panel Data Models,” , Erasmus University Rotterdam, Tinbergen Institute . Discussion Paper 94–132
  • Luukkonen , R. , Saikkonen , P. and Teräsvirta , T. 1988 . “Testing Linearity Against Smooth Transition Autoregressive Models,” . Biometrika , 75 : 491 – 499 .
  • Luukkonen , R. and Teräsvirta , T. 1991 . “Testing Linearity of Economic Time Series Against Cyclical Asymmetry,” . Annales d'Economie et de Statistique , 21 : 125 – 142 .
  • Martin , R. D. 1981 . “Robust Methods for Time Series,” . In Applied Time Series Analysis , Edited by: Findley , D. F. 683 – 759 . New York : Academic Press .
  • Martin , R. D. and Yohai , V. J. 1986 . “Influence Functionals for Time Series,” . The Annals of Statistics , 14 : 781 – 818 .
  • Peracchi , F. 1991 . “Robust M-tests,” . Econometric Theory , 7 : 69 – 84 .
  • Pesaran , M. H. and Potter , S. M. 1997 . “A Floor and Ceiling Model of U.S. Output,” . Journal of Economic Dynamics and Control , 21 : 661 – 695 .
  • Potter , S. M. 1995 . “A Nonlinear Approach to U.S. GNP,” . Journal of Applied Econometrics , 10 : 109 – 125 .
  • Rousseeuw , P. J. 1984 . “Least Median of Squares Regression,” . Journal of the American Statistical Association , 19 : 871 – 880 .
  • Rousseeuw , P. J. 1985 . “Multivariate Estimation With High Breakdown Point,” . In Mathematical Statistics and Applications , Edited by: Vincze , I. , Grossmann , W. , Pflug , G. and Wertz , W. vol. B , 283 – 297 . Dordrecht : Reidel .
  • Rousseeuw , P. J. and Van Zomeren , B. C. 1990 . “Unmasking Multivariate Outliers and Leverage Points” (with comments and rejoinder) . Journal of the American Statistical Association , 85 : 633 – 651 .
  • Saikkonen , P. and Luukkonen , R. 1988 . “Lagrange Multiplier Tests for Testing Non-linearities in Time Series Models,” . Scandinavian Journal of Statistics , 15 : 55 – 68 .
  • Simpson , D. G. , Ruppert , D. and Carroll , R. J. 1992 . “On One-Step GM Estimates and Stability of Inferences in Linear Regression,” . Journal of the American Statistical Association , 87 : 439 – 450 .
  • Teräsvirta , T. 1994 . “Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models,” . Journal of the American Statistical Association , 89 : 208 – 218 .
  • Teräsvirta , T. 1998 . “Modelling Economic Relationships With Smooth Transition Regressions,” . In Handbook of Applied Economic Statistics , Edited by: Ullah , A. and Giles , D. E. A. 507 – 552 . New York : Marcel Dekker .
  • Teräsvirta , T. and Anderson , H. M. 1992 . “Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models,” . Journal of Applied Econometrics , 7 : S119 – S136 .
  • Teräsvirta , T. , Tj⊘stheim , D. and Granger , C. W. J. 1994 . “Aspects of Modelling Nonlinear Time Series,” . In Handbook of Econometrics , Edited by: Engle , R. F. and McFadden , D. L. vol. IV , 2917 – 2957 . Amsterdam : Elsevier Science .
  • Tiao , G. C. and Tsay , R. S. 1994 . “Some Advances in Non-linear and Adaptive Modelling in Time-series” (with discussion) . Journal of Forecasting , 13 : 109 – 140 .
  • Tong , H. 1990 . Non-linear Time Series: A Dynamical Systems Approach , Oxford , , U.K. : Oxford University Press .
  • Tsay , R. S. 1986a . “Time Series Model Specification in the Presence of Outliers,” . Journal of the American Statistical Association , 81 : 132 – 141 .
  • Tsay , R. S. 1986b . “Nonlinearity Tests for Time Series,” . Biometrika , 73 : 461 – 466 .
  • Tsay , R. S. 1988 . “Outliers, Level Shifts, and Variance Changes in Time Series,” . Journal of Forecasting , 7 : 1 – 20 .
  • Tsay , R. S. 1989 . “Testing and Modeling Threshold Autoregressive Processes,” . Journal of the American Statistical Association , 84 : 231 – 240 .
  • Van Dijk , D. and Franses , P. H. 1997 . “Modeling Multiple Regimes in the Business Cycle,” , Erasmus University Rotterdam, Econometric Institute . Research Report 9734/A
  • White , H. 1980 . “A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity,” . Econometrica , 48 : 817 – 838 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.