A robust algorithm for parameter estimation in smooth transition autoregressive models

Stelios Bekiros

Economics Letters, 2009, vol. 103, issue 1, 36-38

Abstract: Finding a precise estimate for the smoothness parameter of LSTAR models is notoriously difficult. This paper introduces a robust estimation method for the transition and autoregressive parameters of STAR models, comprising gradient descent and singular value decomposition to account for heteroscedastic noise.

Keywords: STAR; models; Gradient; descent; Singular; value; decomposition; Heteroscedastic; noise (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:103:y:2009:i:1:p:36-38

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