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This paper considers the use of various Lagrange multiplier tests in testing linearity of univariate time series models against non-linear alternatives. It is assumed that there is not enough theory ...
Ritva Luukkonen, Pentti Saikkonen, , Testing Linearity Against Smooth Transition Autoregressive Models, Biometrika, Vol. 75, No. 3 (Sep., 1988), pp. 491-499 ...
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