Generalizing Smooth Transition Autoregressions

Emilio Zanetti Chini ()

No 138, DEM Working Papers Series from University of Pavia, Department of Economics and Management

Abstract: We introduce a new time series model capable to parametrize the joint asymmetry in duration and length of cycles - the dynamic asymmetry - by using a particular generalization of the logistic function. The modelling strategy is discussed in detail, with particular emphasis on two asymmetry tests and relative diagnostics, whose power properties are explored via Monte Carlo experiments. Several case studies illustrate the high versatility of the new model, which is able to characterize the dynamic asymmetry in the cycle in different fields. In a rolling forecasting exercise our model beats its linear and conventional nonlinear competitors in point forecasting, while this superiority becomes less evident in density forecasting, specially when relying on robust measures. Finally, dynamic asymmetry is an important feature to take in account in uncertain environments.

Keywords: trend inflation; monetary-fiscal policy interactions; Markov-switching; determinacy Dynamic asymmetry; Nonlinear time series; Econometric Modelling; Point forecasts; Density forecasts; Evaluating forecasts; Combining forecasts; Uncertainty. (search for similar items in EconPapers)
JEL-codes: C22 C51 C52 (search for similar items in EconPapers)
Pages: 62 pages
Date: 2017-05
New Economics Papers: this item is included in nep-ets, nep-for and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://dem-web.unipv.it/web/docs/dipeco/quad/ps/RePEc/pav/demwpp/DEMWP0138.pdf (application/pdf)

Related works:
Working Paper: Generalizing smooth transition autoregressions (2016)
Working Paper: Generalizing smooth transition autoregressions (2014)
Working Paper: Generalizing smooth transition autoregressions (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:pav:demwpp:demwp0138

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