. . .

Theteststatisticis(17)withw1=fi1=(t1 1--t,...,u1-q) 1andz1=21= aM(Xt;{/1)/'d1/J'anditsasymptoticnulldistributionunderthenullhypothesisisx2 withqdegreesoffreedom.The"'"indicatesconsistentestimatesunderH0 .The approximateF-versionofthelestmaybecomputedinthreestages(Eitrheimand Terasvirta1996):

l.EstimatetheLSTRlmodelbyNLSundertheassumptionofunconelated errorsandcomputethere,idualsumofsquaresSSR0=L:·~taz.