Decision Rules for Selecting between Exponential and Logistic STAR

Alvaro Escribano () and Oscar Jorda ()

Working Papers from University of California at Davis, Department of Economics

Abstract: A new LM specification procedure to choose between Logistic and Exponential Smooth Transition Autoregressive (STAR) models is introduced. This procedure has better consistency and power properties than that previously available in the literature. Monte-Carlo simulations and empirical evidence are provided in support of our claims.

JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 1998-09
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Persistent link: http://EconPapers.repec.org/RePEc:ecl:ucdeco:06-11

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