SSE/EFI Working Paper Series in Economics and Finance
No 380:
Smooth Transition Autoregressive Models - A Survey of Recent Developments
Dick van Dijk ()
, Timo Teräsvirta ()
and Philip Hans Franses ()
Abstract: This paper surveys recent developments related to the
smooth transition autoregressive [STAR] time series model and several of
its variants. We put emphasis on new methods for testing for STAR
nonlinearity, model evaluation, and forecasting. Several useful extensions
of the basic STAR model, which concern multiple regimes, time-varying
nonlinear properties, and models for vector time series, are also
reviewed.
Keywords: Regime-switching models; time series model specification; model evaluation; impulse response analysis; forecasting; (follow links to similar papers)
JEL-Codes: C22; C52; (follow links to similar papers)
55 pages, May 1, 2000, Revised January 17, 2001
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van Dijk, Dick, Timo Teräsvirta and Philip Hans Franses, (2002), 'Smooth Transition Autoregressive Models - A Survey of Recent Developments', Econometric Reviews, Vol. 21, pages 1-47
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