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Testing for the parametric parts in a single-index varying-coefficient model

✍ Scribed by ZhenSheng Huang; RiQuan Zhang


Book ID
113082784
Publisher
SP Science China Press
Year
2012
Tongue
English
Weight
414 KB
Volume
55
Category
Article
ISSN
1674-7283

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## Abstract In this paper we propose Granger (non‐)causality tests based on a VAR model allowing for time‐varying coefficients. The functional form of the time‐varying coefficients is a logistic smooth transition autoregressive (LSTAR) model using time as the transition variable. The model allows f