Thresholds and Smooth Transitions in Vector Autoregressive Models☆The views expressed in this article are those of the authors and should not be interpreted as reflecting the views of the European Central Bank

Kirstin Hubrich () and Timo Teräsvirta

A chapter in VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, 2013, vol. 32, pp 273-326 from Emerald Group Publishing Limited

Abstract: This survey focuses on two families of nonlinear vector time series models, the family of vector threshold regression (VTR) models and that of vector smooth transition regression (VSTR) models. These two model classes contain incomplete models in the sense that strongly exogeneous variables are allowed in the equations. The emphasis is on stationary models, but the considerations also include nonstationary VTR and VSTR models with cointegrated variables. Model specification, estimation and evaluation is considered, and the use of the models illustrated by macroeconomic examples from the literature.

Keywords: Common nonlinearity; impulse response analysis; linearity testing; multivariate nonlinear model; nonlinear cointegration; threshold estimation; C32; C51; C52; C53 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-9053(2013)0000031008

DOI: 10.1108/S0731-9053(2013)0000031008

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