The fractional integrated bi- parameter smooth transition autoregressive model

Ghassen El Montasser and Ahdi Noomen Ajmi

Economics Bulletin, 2012, vol. 32, issue 1, 755-765

Abstract: This paper introduces the fractionally integrated Bi-parameter smooth transition autoregressive model (FI-BSTAR model) as an extension of BSTAR model proposed by Siliverstovs (2005) and the fractionally integrated STAR model (FI-STAR model) proposed by van Dijk et al. (2002). Our FI-BSTAR model is able to simultaneously describe persistence and asymmetric smooth structural change in time series. An empirical application using monthly growth rates of the American producer price index is provided.

Keywords: Long Memory; Nonlinearity; Asymmetry; STAR models. (search for similar items in EconPapers)
JEL-codes: C1 C5 (search for similar items in EconPapers)
Date: 2012-02-27
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