The files contained in this archive replicate the empirical
work reported in the paper

van Dijk, D., T. Teräsvirta and P.H. Franses (2000), Smooth
Transition Autoregressive Models - A Survey of Recent
Developments, Working Papers in Economics and Finance Series
No. 380, Stockholm School of Economics.

If you have any questions or comments, please contact
Dick van Dijk
Econometric Institute
Erasmus University Rotterdam
P.O. Box 1738
NL-3000 DR Rotterdam
The Netherlands

Tel: +31-10-4081263
Fax: +31-10-4089162
e-mail: djvandijk@few.eur.nl
homepage: http://www.few.eur.nl/few/people/djvandijk/

The files are


LHMCNSA.dat - number of unemployed people
LHMUNSA.dat - labor force

URNSATST.e   - GAUSS program to compute LM-type linearity tests against
               STAR alternative for unemployment rate
LSTREST.e    - GAUSS program to estimate STAR model and compute 
               misspecification tests
URNSAFCT.e   - GAUSS program to compute forecasts for unemployment rate
               from estimated STAR model
URNSAGI.e    - GAUSS program to compute Generalized Impulse Response
               Functions for STAR model estimated for unemployment rate

DGNLSTR.g    - GAUSS procedure that computes misspecification tests in 
               STAR models
DGNRESID.g   - GAUSS procedure that computes diagnostic tests and summary
               statistics for estimated model
FCSTUNIV.g   - GAUSS procedure for computing Monte Carlo or bootstrap 
               forecasts from nonlinear models
GIUNIVF.g    - GAUSS procedure for computing Generalized Impulse Response
               Functions for nonlinear models
INFO.g       - GAUSS procedure giving information on remaining running time

KERNEL.prc   - collection of GAUSS procedures for kernel density estimation
ROBUST.prc   - collection of GAUSS procedures for outlier-robust estimation
               of linear regression models
STRTESTS.prc - collection of GAUSS procedures for computing LM-type linearity
               tests against STAR alternative