Testing for linearity using Sup Wald test
Posted: Tue Jul 23, 2013 1:37 am
I am new to Eviews and am trying to test for threshold effects on my data (the spread between two prices). The paper I am reading suggests first testing under the assumption of stationarity in the data then testing under the assumption of unit root and partial unit root.
Can anybody provide any insight into how this is done?
Thanks
Can anybody provide any insight into how this is done?
Thanks