Dick van Dijk
(), Timo Teräsvirta
() and Philip Hans Franses
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.
55 pages, First version: May 1, 2000. Revised: January 17, 2001.
Full text files
hastef0380.readme.txt text file readme
hastef0380.code.zip PKZip archive software for paper
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 2018-03-27 10:24:48.