ABSTRACT
The above theory works when {s1 ) is stationary. It continues to work when s1 = t. In that ease, t is not an element of x1 • The auxiliary regression when testing parameter constancy of a linear model against STR with transition function (12) (first-order Taylor approximation), is
(22)
(Lin and Teriisvirta 1994). The F statistic corresponding to (21) thus has ?.(p + 1) and T - 4p - 4 degrees of freedom.
