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The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 132:
Smooth Transition Models

Timo Teräsvirta ()

Abstract: This paper considers smooth transition regression models and their univariate counterparts, smooth transition autoregressive models. The model is defined and thereafter, linearity testing, statistical inference in smooth transition models, and areas of application are discussed. A bivariate application of smooth transition models to testing Granger noncausality between variables is presented using two long Swedish macroeconomic time series.

Keywords: economic modelling; Granger-causality. Linearity testing; nonlinearity; smooth transition regression; switching regression; time series; (follow links to similar papers)

JEL-Codes: C22; C50; (follow links to similar papers)

29 pages, November 1996

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This paper is published as:
Teräsvirta, Timo, (1997), 'Smooth Transition Models' in Heij, C., J. M. Schumacher, B. Hanzon and C. Praagman (eds.) System dynamics in economic and financial models, pages 107-133, Wiley.



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