Tests for SETAR‐type non‐linearity in time series have recently been proposed by Petruccelli and Davies (1986), W. S. Chan and Tong (1986), Tsay (1987), Luukkonen et al. (1988), Petruccelli (1987) and Moeanaddin and Tong (1988). In this paper we consider the relative performance of thes: tests.
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Joseph D. Petruccelli (1990) studied this question.
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