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The Economic Research Institute, Stockholm School of Economics 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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This paper is published as:
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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