Scandinavian Working Papers in Economics

SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics

No 380: Smooth Transition Autoregressive Models - A Survey of Recent Developments

Dick van Dijk (), Timo Teräsvirta () and Philip Hans Franses ()
Additional contact information
Dick van Dijk: Econometric Institute, Erasmus University Rotterdam, Postal: P.O. Box 1738, NL-3000 DR Rotterdam, the Netherlands
Timo Teräsvirta: Dept. of Economic Statistics, Stockholm School of Economics, Postal: P.O. Box 6501, S-113 83 Stockholm, Sweden
Philip Hans Franses: Econometric Institute, Erasmus University Rotterdam, Postal: P.O. Box 1738, NL-3000 DR Rotterdam, the Netherlands

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

JEL-codes: C22; C52

55 pages, First version: May 1, 2000. Revised: January 17, 2001.

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