Scandinavian Working Papers in Economics
SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics
No 132: Smooth Transition Models
Timo Teräsvirta ()
Additional contact information
Timo Teräsvirta: Department of Economic Statistics, Postal: Stockholm School of Economics, Box 6501, 113 83 Stockholm, Sweden
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
29 pages, November 1996
Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson ().
This page generated on 2024-02-11 18:19:13.