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