SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
Dick van Dijk (),
Timo Teräsvirta () and
Philip Hans Franses
Econometric Reviews, 2002, vol. 21, issue 1, 1-47
This paper surveys recent developments related to the smooth transition autoregressive (STAR) time series model and several of its variants. We put emphasis on new methods for testing for STAR nonlinearity, model evaluation, and forecasting. Several useful extensions of the basic STAR model, which concern multiple regimes, time-varying non-linear properties, and models for vector time series, are also reviewed.
Keywords: Regime-switching models; Time series model specification; Model evaluation; Forecasting; Impulse response analysis; JEL Classification: C22; C52; E24 (search for similar items in EconPapers)
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Working Paper: Smooth Transition Autoregressive Models - A Survey of Recent Developments (2001)
Working Paper: Smooth transition autoregressive models - A survey of recent developments (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:21:y:2002:i:1:p:1-47
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