The Bi-parameter Smooth Transition AutoRegressive model

Boriss Siliverstovs

Economics Working Papers from Department of Economics and Business Economics, Aarhus University

Abstract: The paper introduces a nonlinear model that belongs to the STAR family of models. The main feature of the suggested Bi-parameter Smooth Transition AutoRegressive (BSTAR) model is that it allows for different speed of transition between the middle regime and each of the identical outer regimes. Thus, the BSTAR model can be considered as a generalization of the LSTR2 model introduced in Ter„svirta (1998) which imposes symmetric speed of adjustment between the middle and each of the identical outer regimes.

Keywords: STAR models; nonlinear time series; Index of Industrial Production (search for similar items in EconPapers)
JEL-codes: C22 C50 E23 (search for similar items in EconPapers)
Pages: 27
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: The Bi-parameter Smooth Transition Autoregressive model (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:aarhec:2000-16

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